کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1708342 1012822 2012 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی مکانیک محاسباتی
پیش نمایش صفحه اول مقاله
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
چکیده انگلیسی
Pricing variance swaps under stochastic volatility with discretely-sampled realized variance has been a hot subject pursued recently; quite a few papers have already been published (Zhu and Lian (2009, 2011, [11,4]); Swishchuk and Li (2011) [5]). In this paper, we present a simplified approach to price discretely-sampled variance swaps. Compared with the approach presented by Zhu and Lian (2011) [4], an important feature of our approach is that there is no need for the introduction of a new state variable and the utilization of the generalized Fourier transform. This has significantly simplified the solution procedure and will thus enable researchers to view this type of problems from a different angle.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics Letters - Volume 25, Issue 11, November 2012, Pages 1644-1650
نویسندگان
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