Pricing variance swaps with stochastic volatility

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aut.researcherLian, Guanghua
dc.contributor.authorLian, G
dc.date.accessioned2011-11-21T02:55:18Z
dc.date.available2011-11-21T02:55:18Z
dc.date.copyright2009-07-01
dc.date.issued2009-07-01
dc.description.abstractFollowing 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.
dc.identifier.citationLecture Notes in Engineering and Computer Science: Proceedings of The World Congress on Engineering 2009, WCE 2009, London, U.K., vol. II, pp.1359-1364
dc.identifier.isbnVol II (pp662-1329): 978-988-18210-2-7 Paper ISBN: 978-988-18210-1-0
dc.identifier.urihttps://hdl.handle.net/10292/2610
dc.publisherIAENG/Newswood Limited/International Association of Engineers (IAENG)
dc.relation.urihttp://www.iaeng.org/publication/WCE2009/WCE2009_pp1359-1364.pdf
dc.relation.urihttp://www.iaeng.org/publication/WCE2009/
dc.rightsCopyright © 2009 International Association of Engineers (IAENG) - http://www.iaeng.org. All rights reserved. This publication is open access and available at (see Publisher’s Version). Authors retain the right to place his/her publication version of the work on a personal website or institutional repository for non commercial purposes. The definitive version was published in (see Citation).
dc.rights.accessrightsOpenAccess
dc.titlePricing variance swaps with stochastic volatility
dc.typeConference Contribution
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Design & Creative Technologies
pubs.organisational-data/AUT/Design & Creative Technologies/School of Computing & Mathematical Science
pubs.organisational-data/AUT/PBRF Researchers
pubs.organisational-data/AUT/PBRF Researchers/Design & Creative Technologies PBRF Researchers
pubs.organisational-data/AUT/PBRF Researchers/Design & Creative Technologies PBRF Researchers/DCT C & M Computing
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