Pricing variance swaps with stochastic volatility

Pricing variance swaps with stochastic volatility

Following the pricing approach proposed by Zhu & Lian (2009), 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-speci¯ed discrete sampling points. Our newly-found pricing formul...

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Bibliographic Details
Main Author: Lian, G (Author)
Format: Others
Published: IAENG/Newswood Limited/International Association of Engineers (IAENG), 2011-11-21T02:55:18Z.
Subjects:
Conference Contribution
Online Access:Get fulltext
LEADER 01238 am a22001573u 4500
001 2610
042 |a dc 
100 1 0 |a Lian, G  |e author 
245 0 0 |a Pricing variance swaps with stochastic volatility 
260 |b IAENG/Newswood Limited/International Association of Engineers (IAENG),   |c 2011-11-21T02:55:18Z. 
500 |a Lecture Notes in Engineering and Computer Science: Proceedings of The World Congress on Engineering 2009, WCE 2009, London, U.K., vol. II, pp.1359-1364 
500 |a Vol II (pp662-1329): 978-988-18210-2-7 Paper ISBN: 978-988-18210-1-0 
520 |a Following the pricing approach proposed by Zhu & Lian (2009), 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-speci¯ed discrete sampling points. Our newly-found pricing formula is based on the Heston's (1993) two-factor stochastic volatil- ity model. The discovery of this exact and closed-form solution has signi¯cantly improved the computational efficiency involved in computing the value of variance swaps with discrete sampling points. 
540 |a OpenAccess 
655 7 |a Conference Contribution 
856 |z Get fulltext  |u http://hdl.handle.net/10292/2610 

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