A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

By Song‐Ping Zhu, Guang-Hua Lian. 2010

135 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d72ff0ab9869f0d0e61761e478c9e80ad4ae035d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Finance

Citations in the corpus

Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, methodology): “…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 Stk Stk 1 Stk 1 2 1002…”
CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (2011, unknown): “As a remark, it suffices to use the marginal MGFs to price discretely sampled vanilla variance swaps (Zhu and Lian 2011) due to their simpler payoff structure.”
Pricing VIX options with stochastic volatility and random jumps (2011, unknown): “…interpreted, with mathematical simplification, as the risk-neutral expectation of the log contract (see, for example, Lin 2007; Duan and Yeh 2007; Zhu and Lian 2011a for more details), VIX2t = − 2 τ EQ [ ln ( St+τ F )∣ ∣ ∣ ∣Ft ] × 1002 (2) where Q is the risk-neutral probability measure, F = St…”
An Analytical Formula for VIX Futures and its Applications (2012, background): “Such an advantage has also been clearly demonstrated by Zhu & Lian (2010) when they presented an analytical pricing formula for variance swaps.”
Prices and Asymptotics for Discrete Variance Swaps (2013, unknown): “34) by Zhu and Lian (2011). In particular, we are able to reproduce all numerical results but one presented in Table 3.”