کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1139075 1489405 2015 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A path-independent approach to integrated variance under the CEV model
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
A path-independent approach to integrated variance under the CEV model
چکیده انگلیسی

In this paper, a closed form path-independent approximation of the fair variance strike for a variance swap under the constant elasticity of variance (CEV) model is obtained by applying the small disturbance asymptotic expansion. The realized variance is sampled continuously in a risk-neutral market environment. With the application of a Brownian bridge, we derive a theorem for the conditionally expected product of a Brownian motion at two different times for arbitrary powers. This theorem enables us to provide a conditional Monte-Carlo scheme for simulating the fair variance strike. Compared with results in the recent literature, the method outlined in our paper leads to a simplified approach for pricing variance swaps. The method may also be applied to other more sophisticated volatility derivatives. An empirical comparison of this model with the Heston model and a conditional Monte Carlo scheme is also presented using option data on the S&P 500.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 109, March 2015, Pages 130–152
نویسندگان
, , ,