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.
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页码：1359 / +
页数：2
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