Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility

By A. Sepp. 2008

145 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/89d5031917c91df82c82f7671e90369adfff7178

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Citations in the corpus

Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility (2018, methodology): “Actually, the Heston’s SV model has become one of standard approaches in the pricing of financial derivatives, see Liu and Pan (2003) and Sepp (2008).”
An Analytical Formula for VIX Futures and its Applications (2012, methodology): “By calibrating the model to the VIX options data observed on July 25, 2007, Sepp (2008b) obtained his parameters for the same model and derived the VIX density.”
PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, methodology): “…Groth, and Kufakunesu (2007), dealing with the model of Barndorff-Nielsen and Shephard (henceforth BNS; 2001) without leverage, as well as Broadie and Jain (2008) and Sepp (2008), which use the Bates model (Bates 1996) resp. the Heston model augmented by specific jumps in stock and volatility.”
A regime-switching Heston model for VIX and S&P 500 implied volatilities (2014, methodology): “A similar expansion could also be derived for the model in Sepp (2008) where there are also jumps in Y ’s SDE, so long as the intensity of jumps is of order δ.”
CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (2011, background): “KEY WORDS: generalized variance swaps, stochastic volatility models, Fourier transform, discrete sampling.”
The Term Structure of VIX (2012, background): “As seen before, when jump is added into index process, the realized variance of the index is modified with an additional jump-related term (e.g., Duan and Yeh (2007) and Sepp (2008b)).”
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014, unknown): “Heston’s SV model has been adopted in various literatures to price derivatives in the market, see Seep [24](2008), Deelstra and Rayée [7](2013).”
Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2012, background): “, and deﬁne the realized variance as the quadratic variation of X, i.e. RVT := ZT 0 Vsds+ XNT j=1 (ξ˜ j) 2, t ≥ 0, where RVT denotes realized variance and T denotes the maturity of interest, see also [29]. We have the following result, which is the analogue of Proposition 2.2 in [12], see also [9] a”
STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (2013, unknown): “…a general framework for modeling a joint market of stock price and a term structure of variance swaps in a Heath–Jarrow–Morton (HJM) type framework; Sepp (2008) who priced volatility derivatives under a square-root volatility model with jumps and Albanese, Lo, and Mijatovic (2009) who applied…”
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions (2012, background): “Amengual (2009) appears to estimate jump parameters from the time-series of the S&P 500 only and Sepp (2008) restricts jumps to occur only in the variance process.”
Pricing VIX options with stochastic volatility and random jumps (2011, unknown): “Psychoyios et al. (2007) provided a pricing model for both VIX futures and VIX options based on the squared root mean-reverting process with jumps.”
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, background): “…and Lee (2005, 2007) are modelindependent, many early papers depend on specific stochastic volatility models, such as those of Grunbichler and Longstaff (1996), Heston and Nandi (2000), Brockhaus and Long (2000), Javaheri et al. (2004), Howison et al. (2004), Swishchuk (2004), Sepp (2008), etc.”
The Effect of Jumps and Discrete Sampling on Volatility and Variance Swaps (2008, unknown): “Sepp (2008) priced options on realized variance in the Heston stochastic volatility model by solving a partial differential equation.”
Options on realized variance by transform methods: a non-affine stochastic volatility model (2009, methodology): “Broadie and Jain (2008a) and Sepp (2008) developed methods for pricing and hedging options on realized variance in the Heston model.”