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New solvable stochastic volatility models for pricing volatility derivatives
New solvable stochastic volatility models pricing volatility derivatives Pricing of Securities
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2012/6/5
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the...
A Cautious Note on the Design of Volatility Derivatives
3/2 volatility model variance swap num´ eraire portfolio
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2010/10/21
This cautious note aims to point at the potential risks for the financial system caused by various increasingly popular volatility derivatives including variance swaps on futures of equity indices. It...
Volatility derivatives in market models with jumps
Volatility derivatives market models with jumps
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2010/11/1
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features....
Spectral methods for volatility derivatives
Spectral methods volatility derivatives
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2010/11/1
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as
one of the listed products, options on its implied volatility index (VIX). This created the challenge of developing a...