Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/79108
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dc.contributor.author | Elliott, R. | - |
dc.contributor.author | Lian, G. | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Quantitative Finance, 2013; 13(5):687-698 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.issn | 1469-7696 | - |
dc.identifier.uri | http://hdl.handle.net/2440/79108 | - |
dc.description.abstract | This study presents a set of closed-form exact solutions for pricing discretely sampled variance swaps and volatility swaps, based on the Heston stochastic volatility model with regime switching. In comparison with all the previous studies in the literature, this research, which obtains closed-form exact solutions for variance and volatility swaps with discrete sampling times, serves several purposes. (1) It verifies the degree of validity of Elliott et al.'s [Appl. Math. Finance, 2007, 14(1), 41–62] continuous-sampling-time approximation for variance and volatility swaps of relatively short sampling periods. (2) It examines the effect of ignoring regime switching on pricing variance and volatility swaps. (3) It contributes to bridging the gap between Zhu and Lian's [Math. Finance, 2011, 21(2), 233–256] approach and Elliott et al.'s framework. (4) Finally, it presents a semi-Monte-Carlo simulation for the pricing of other important realized variance based derivatives. | - |
dc.description.statementofresponsibility | Robert J. Elliott and Guang-Hua Lian | - |
dc.language.iso | en | - |
dc.publisher | IOP Publishing Ltd. | - |
dc.rights | © 2013 Taylor & Francis | - |
dc.source.uri | http://dx.doi.org/10.1080/14697688.2012.676208 | - |
dc.subject | Variance swaps | - |
dc.subject | Regime switching | - |
dc.subject | Stochastic volatility | - |
dc.subject | Characteristic function | - |
dc.title | Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1080/14697688.2012.676208 | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest 4 Mathematical Sciences publications |
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RA_hdl_79108.pdf Restricted Access | Restricted Access | 338.75 kB | Adobe PDF | View/Open |
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