Analytically pricing volatility swaps under stochastic volatility-Reference-Cited by-同舟云学术

Analytically pricing volatility swaps under stochastic volatility

Published:2015-11 Issue: Volume:288 Page:332-340
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Zhu Song-Ping,Lian Guang-Hua

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference29 articles.

1. Towards a Theory of Volatility Trading;Carr,1998

2. K. Demeterfi, E. Derman, M. Kamal, J. Zou, More than you ever wanted to know about volatility swaps, Goldman Sachs Quantitative Strategies Research Notes.

3. Valuing futures and options on volatility;Grunbichler;J. Bank. Financ.,1996

4. On the pricing and hedging of volatility derivatives;Howison;Appl. Math. Financ.,2004

5. Modeling of variance and volatility swaps for financial markets with stochastic volatilities;Swishchuk;Wilmott Mag.,2004

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