Lian, G2011-11-212011-11-212009-07-012009-07-01Lecture Notes in Engineering and Computer Science: Proceedings of The World Congress on Engineering 2009, WCE 2009, London, U.K., vol. II, pp.1359-1364Vol II (pp662-1329): 978-988-18210-2-7 Paper ISBN: 978-988-18210-1-0https://hdl.handle.net/10292/2610Following 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.Copyright © 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).Conference ContributionOpenAccess