• A closed-form exact solution for pricing variance swaps with stochastic volatility

      Lian, G (Wiley-Blackwell, 2011)
      In this paper, we present a highly efficient approach to price variance swaps with discrete sampling times. We have found a closed-form exact solution for the partial differential equation (PDE) system based on the Heston’s ...
    • An analytical formula for VIX futures and its applications

      Lian, G; Zhu, SP (Wiley Periodicals, Inc., 2011)
      In this study we present a closed-form, exact solution for the pricing of VIX futures in a stochastic volatility model with simultaneous jumps in both the asset price and volatility processes. The newly derived formula is ...
    • Pricing variance swaps in a stochastic volatility model with regime switching-discrete sampling case

      Lian, G (University of Adelaide/University of South Australia, 2011)
      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 ...
    • Pricing variance swaps with stochastic volatility

      Lian, G (IAENG/Newswood Limited/International Association of Engineers (IAENG), 2009)
      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 ...
    • Pricing VIX Futures with stochastic volatility and random jumps

      Lian, G (University of Technology, Sydney, 2009)
      Since the inception of the volatility index (VIX) by the CBOE, in particular, the introduction of the VIX futures by CBOE in 2004, various pricing models with stochastic volatilities have been proposed to value VIX futures. ...
    • Pricing volatility derivatives with stochastic volatility

      Lian, G (University of Wollongong, 2010)
      Volatility derivatives are products where the volatility is the main underlying notion. These products are particularly important for market investors as they use them to have insight into the level of volatility to ...