Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142251 | Operations Research Letters | 2015 | 4 Pages |
Abstract
This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant elasticity of variance model using the benchmark approach. The analytical expressions of pricing formulas for variance swaps are presented. In addition, the numerical solutions for variance swaps, volatility swaps and options on variance are demonstrated.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Leunglung Chan, Eckhard Platen,