کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4640368 | 1341273 | 2010 | 12 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: An efficient control variate method for pricing variance derivatives An efficient control variate method for pricing variance derivatives](/preview/png/4640368.png)
This paper studies the pricing of variance swap derivatives with stochastic volatility by the control variate method. A closed form solution is derived for the approximate model with deterministic volatility, which plays the key role in the paper, and an efficient control variate technique is therefore proposed when the volatility obeys the log-normal process. By the analysis of moments for the underlying processes, the optimal volatility function in the approximate model is constructed. The numerical results show the high efficiency of our method; the results coincide with the theoretical results. The idea in the paper is also applicable for the valuation of other types of variance swap, options with stochastic volatility and other financial derivatives with multi-factor models.
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 1, 1 November 2010, Pages 108–119