The Effect of Jumps and Discrete Sampling on Volatility and Variance Swaps

By Mark Broadie, Ashish Jain. 2008

192 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9b3d767578a1d374dbea854f9c7898175a734968

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Citations in the corpus

Quadratic Variance Swap Models (2016, unknown): “…T t Z R logð1þξÞ 2χðds; dξÞ: ð3Þ This approximation is commonly adopted in practice (e.g., Egloff, Leippold, and Wu, 2010) and quite accurate at a daily sampling frequency (e.g., Broadie and Jain, 2008; Jarrow, Kchia, Larsson, and Protter, 2013), as is the case in our data set.12 A variance…”
A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2010, methodology): “Broadie and Kaya (2006) developed an approach for exact simulation of the Heston dynamical process.”
Options on realized variance by transform methods: a non-affine stochastic volatility model (2009, methodology): “The calibration of the models to vanilla options is important because the prices of European options determine the values of variance swaps, which, in turn, are the main hedging instruments for options on realized variance; for a broad introduction to variance swaps we refer to Carr and Madan (2002)”
PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, methodology): “…Benth, 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 dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions (2012, background): “In the presence of jumps there is a small difference between the two quantities, see Broadie and Jain (2008) and Duan and Yeh (2010).”
An Analytical Formula for VIX Futures and its Applications (2012, methodology): “A similar technique has also been adopted by Broadie & Jain (2008) to derive a closed-form pricing formula for volatility swaps.”
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, methodology): “(2006), Broadie and Jain (2008), Itkin and Carr (2010), and Zhu and Lian (2011). Zhu and Lian (2011) provided a comprehensive literature overview of variance swaps on this issue. Carr and Lee (2009) outlined an overview of the current market for volatility derivatives (such as variance and volatilit”
A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (2009, unknown): “Broadie and Jain (2008a) studied the valuation of volatility derivatives in the Heston model; Carr et al. (2005) studied the pricing of volatility derivatives in models based on Lévy processes.”
Prices and Asymptotics for Discrete Variance Swaps (2013, unknown): “This is in line with the work of Broadie and Jain (2008a) in which the Heston model and the Merton jump diffusion model are considered. See also Itkin and Carr (2010) who study discretely sampled variance swaps in the 3/2 stochastic volatility model.”