Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching
S Lin, XJ He - Expert Systems with Applications, 2023 - Elsevier
This paper proposes a new model with a two-factor stochastic equilibrium volatility level that
can be used to price variance and volatility swaps with nonlinear payoff. The adopted model …
can be used to price variance and volatility swaps with nonlinear payoff. The adopted model …
Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks
S Lin, XJ He - Journal of Futures Markets, 2024 - Wiley Online Library
We construct a stochastic volatility model considering stochastic liquidity risks when valuing
variance and volatility swaps with discrete sampling. We base our model on Heston …
variance and volatility swaps with discrete sampling. We base our model on Heston …
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
After the recent financial crisis, the market for volatility derivatives has expanded rapidly to
meet the demand from investors, risk managers and speculators seeking diversification of …
meet the demand from investors, risk managers and speculators seeking diversification of …
Solution of the fractional Black‐Scholes option pricing model by finite difference method
L Song, W Wang - Abstract and applied analysis, 2013 - Wiley Online Library
This work deals with the put option pricing problems based on the time‐fractional Black‐
Scholes equation, where the fractional derivative is a so‐called modified Riemann‐Liouville …
Scholes equation, where the fractional derivative is a so‐called modified Riemann‐Liouville …
An analytical formula for VIX futures and its applications
In this study we present a closed‐form, exact solution for the pricing of VIX futures in a
stochastic volatility model with simultaneous jumps in both the asset price and volatility …
stochastic volatility model with simultaneous jumps in both the asset price and volatility …
A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching
XJ He, S Lin - Financial Innovation, 2024 - Springer
The effects of stochastic volatility, jump clustering, and regime switching are considered
when pricing variance swaps. This study established a two-stage procedure that simplifies …
when pricing variance swaps. This study established a two-stage procedure that simplifies …
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
This study presents a set of closed-form exact solutions for pricing discretely sampled
variance swaps and volatility swaps, based on the Heston stochastic volatility model with …
variance swaps and volatility swaps, based on the Heston stochastic volatility model with …
Closed form pricing formulas for discretely sampled generalized variance swaps
W Zheng, YK Kwok - Mathematical Finance, 2014 - Wiley Online Library
Most of the existing pricing models of variance derivative products assume continuous
sampling of the realized variance processes, though actual contractual specifications …
sampling of the realized variance processes, though actual contractual specifications …
Pricing VIX options with stochastic volatility and random jumps
This study presents an analytical exact solution for the price of VIX options under stochastic
volatility model with simultaneous jumps in the asset price and volatility processes. We shall …
volatility model with simultaneous jumps in the asset price and volatility processes. We shall …
Can the Heston model forecast energy generation? A systematic literature review
The ability to predict the price of stock exchange assets has attracted the attention of
economists and physicists around the world, as physical models are useful to predict …
economists and physicists around the world, as physical models are useful to predict …