Pricing Variance Swaps Under Stochastic Volatility with an Ornstein-Uhlenbeck Process

• Published in: Journal of systems science and complexity Vol. 28; no. 6; pp. 1412 - 1425
• Main Authors: Jia, Zhaoli, Bi, Xiuchun, Zhang, Shuguang
• Format: Journal Article
• Language: English
• Published: Beijing Academy of Mathematics and Systems Science, Chinese Academy of Sciences 01.12.2015
• Subjects: Complex Systems; Control; Mathematics; Mathematics and Statistics; Mathematics of Computing; Operations Research/Decision Theory; Ornstein-Uhlenbeck过程; Statistics; Systems Theory; 互换; 傅立叶变换算法; 定价; 方差; 波动分析法; 蒙特卡洛模拟; 随机波动率; Closed-form solution; Ornstein-Uhlenbeck process; variance swaps; stochastic volatility

Pricing variance swaps under stochastic volatility has been an important subject pursued recently. Various approaches have been proposed, mainly due to the substantially increased trading activities of volatility-related derivatives in the past few years. In this note, the authors develop analytical...