A FINITE DIFFERENCE METHOD FOR THE VALUATION OF VARIANCE SWAPS
By T. Little, Vijay Pant. 2001
79 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/8f982a134a802b56b38ad77c0429c51bd808789c
How researchers see this paper
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In Economics and Econometrics
- Guang-Hua Lian
- Song‐Ping Zhu
- Robert J. R. Elliott
- Yue Kuen Kwok
- Mark Broadie
- Ashish Jain
- Wendong Zheng
- Gabriel G. Drimus
In Finance
- Guang-Hua Lian
- Song‐Ping Zhu
- Robert J. R. Elliott
- M. Mazur
- Joanna M. Goard
- Yue Kuen Kwok
- Mark Broadie
- Ashish Jain
Citations in the corpus
- STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (2013, background): “…and jump-diffusion models); Carr et al. (2005) who priced volatility options by modeling returns as pure jump processes with independent increments; Little and Pant (2001) who valued variance swaps by developing a finite difference scheme in an extended Black–Scholes framework in which the local…”
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, methodology): “Some typical formulae that have been alternatively used in the literature (see, for example, Little and Pant (2001), Howison et al. (2004), Windcliff et al. (2006), Broadie and Jain (2008) and Zhu and Lian (2011) for the measure of realized variance, RVvar(0,N,Te), are RVd1varð0,N,TeÞ ¼ AF N XN k¼1…”
- A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2010, methodology): “For example, when the error level reaches more than 0.5%, Little and Pant (2001) have already concluded, within the Black– Scholes framework, that such an error is “fairly large” so that adopting the continuous model might not be so justifiable any more.”
- CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (2011, background): “Little and Pant (2001) develop a finite difference approach for the valuation of the discretely sampled variance swaps in an extended Black–Scholes framework with a local volatility function.”
- The Effect of Jumps and Discrete Sampling on Volatility and Variance Swaps (2008, methodology): “Little and Pant (2001) developed a finite difference method for the valuation of variance swaps in the case of discrete sampling in an extended BlackScholes framework.”