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

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