Discrete variance swap in a rough volatility economy
Author
Abstract
Suggested Citation
DOI: 10.1002/fut.22242
Download full text from publisher
References listed on IDEAS
- Eduardo Abi Jaber, 2018. "Lifting the Heston model," Papers 1810.04868, arXiv.org, revised Nov 2019.
- Tetsuya Takaishi, 2019. "Rough volatility of Bitcoin," Papers 1904.12346, arXiv.org.
- José Da Fonseca & Wenjun Zhang, 2019. "Volatility of volatility is (also) rough," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 600-611, May.
- Eduardo Abi Jaber, 2019. "Lifting the Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 19(12), pages 1995-2013, December.
- Eduardo Abi Jaber, 2019. "Lifting the Heston model," Post-Print hal-01890751, HAL.
- Mesias Alfeus & Ludger Overbeck & Erik Schlögl, 2019. "Regime switching rough Heston model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 538-552, May.
- Wendong Zheng & Yue Kuen Kwok, 2014. "Closed Form Pricing Formulas For Discretely Sampled Generalized Variance Swaps," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 855-881, October.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Omar El Euch & Mathieu Rosenbaum, 2019. "The characteristic function of rough Heston models," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 3-38, January.
- Pun, Chi Seng & Chung, Shing Fung & Wong, Hoi Ying, 2015. "Variance swap with mean reversion, multifactor stochastic volatility and jumps," European Journal of Operational Research, Elsevier, vol. 245(2), pages 571-580.
- Fangyuan Dong & Hoi Ying Wong, 2017. "Variance swaps under the threshold Ornstein–Uhlenbeck model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(5), pages 507-521, September.
- Weiyi Liu & Song‐Ping Zhu, 2019. "Pricing variance swaps under the Hawkes jump‐diffusion process," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 635-655, June.
- Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2018. "Volatility is rough," Quantitative Finance, Taylor & Francis Journals, vol. 18(6), pages 933-949, June.
- Christian Bayer & Peter Friz & Jim Gatheral, 2016. "Pricing under rough volatility," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 887-904, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Liang Wang & Weixuan Xia, 2022.
"Power‐type derivatives for rough volatility with jumps,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
- Liang Wang & Weixuan Xia, 2020. "Power-type derivatives for rough volatility with jumps," Papers 2008.10184, arXiv.org, revised Nov 2021.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
- Etienne Chevalier & Sergio Pulido & Elizabeth Z'u~niga, 2021. "American options in the Volterra Heston model," Papers 2103.11734, arXiv.org, revised May 2022.
- Ackermann, Julia & Kruse, Thomas & Overbeck, Ludger, 2022. "Inhomogeneous affine Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 250-279.
- Eduardo Abi Jaber & Nathan De Carvalho, 2023. "Reconciling rough volatility with jumps," Papers 2303.07222, arXiv.org, revised Sep 2024.
- Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
- Siow Woon Jeng & Adem Kilicman, 2020. "Series Expansion and Fourth-Order Global Padé Approximation for a Rough Heston Solution," Mathematics, MDPI, vol. 8(11), pages 1-26, November.
- Eduardo Abi Jaber & Camille Illand & Shaun & Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Papers 2212.08297, arXiv.org, revised Dec 2024.
- Mathieu Rosenbaum & Jianfei Zhang, 2021. "Deep calibration of the quadratic rough Heston model," Papers 2107.01611, arXiv.org, revised May 2022.
- Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Working Papers hal-03902513, HAL.
- Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
- Siow Woon Jeng & Adem Kiliçman, 2021. "On Multilevel and Control Variate Monte Carlo Methods for Option Pricing under the Rough Heston Model," Mathematics, MDPI, vol. 9(22), pages 1-32, November.
- Liang Wang & Weixuan Xia, 2022.
"Power‐type derivatives for rough volatility with jumps,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
- Liang Wang & Weixuan Xia, 2020. "Power-type derivatives for rough volatility with jumps," Papers 2008.10184, arXiv.org, revised Nov 2021.
- Eduardo Abi Jaber, 2021. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02412741, HAL.
- Eduardo Abi Jaber, 2021. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Post-Print hal-02412741, HAL.
- Ozan Akdogan, 2019. "Vol-of-vol expansion for (rough) stochastic volatility models," Papers 1910.03245, arXiv.org, revised Dec 2019.
- Jay Cao & Jacky Chen & John Hull & Zissis Poulos, 2021. "Deep Learning for Exotic Option Valuation," Papers 2103.12551, arXiv.org, revised Sep 2021.
- Eduardo Abi Jaber, 2019. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Papers 1912.07445, arXiv.org, revised Jun 2020.
- Eduardo Abi Jaber, 2020. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Working Papers hal-02412741, HAL.
- Yicun Li & Yuanyang Teng, 2022. "Estimation of the Hurst Parameter in Spot Volatility," Mathematics, MDPI, vol. 10(10), pages 1-26, May.
- Han, Bingyan & Wong, Hoi Ying, 2021. "Merton’s portfolio problem under Volterra Heston model," Finance Research Letters, Elsevier, vol. 39(C).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1640-1654. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.