Pricing Variance Swaps with Stochastic Volatility

被引：0

作者：

Zhu, Song-Ping ^{[1
]}

Lian, Guang-Hua ^{[1
]}

机构：

[1] Univ Wollongong, Sch Math & Appl Stat, Wollongong, NSW, Australia

来源：

WORLD CONGRESS ON ENGINEERING 2009, VOLS I AND II | 2009年

关键词：

variance swaps; Heston model; explicit formulae; stochastic volatility; INTEREST-RATES; OPTIONS; MODEL;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

Following the pricing approach proposed by Zhu & Lian [19], we present an exact solution for pricing variance swaps with the realized variance in the payoff function being a logarithmic return of the underlying asset at; some pre-specified discrete sampling points. Our newly-found pricing formula is based on the Heston's [8] two-factor stochastic volatility model. The discovery of this exact and closed-form solution has significantly improved the computational efficiency involved in computing the value of variance swaps with discrete sampling points.

引用

页码：1359 / +

页数：2

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