Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, L; Platen, E

Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, L Platen, E

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Publication Type:: Journal Article
Citation:: Operations Research Letters, 2015, 43 (4), pp. 419 - 422
Issue Date:: 2015-06-18

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Field	Value	Language
dc.contributor.author	Chan, L	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.available	2020-05-25T19:05:46Z
dc.date.issued	2015-06-18	en_US
dc.identifier.citation	Operations Research Letters, 2015, 43 (4), pp. 419 - 422	en_US
dc.identifier.issn	0167-6377	en_US
dc.identifier.uri	http://hdl.handle.net/10453/36678
dc.description.abstract	© 2015 Elsevier B.V. All rights reserved. This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant elasticity of variance model using the benchmark approach. The analytical expressions of pricing formulas for variance swaps are presented. In addition, the numerical solutions for variance swaps, volatility swaps and options on variance are demonstrated.	en_US
dc.relation.ispartof	Operations Research Letters	en_US
dc.relation.isbasedon	10.1016/j.orl.2015.05.009	en_US
dc.subject.classification	Operations Research	en_US
dc.title	Pricing volatility derivatives under the modified constant elasticity of variance model	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	43	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0103 Numerical and Computational Mathematics	en_US
utslib.for	1503 Business and Management	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	4	en_US
pubs.publication-status	Published	en_US
pubs.volume	43	en_US

Abstract:

© 2015 Elsevier B.V. All rights reserved. This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant elasticity of variance model using the benchmark approach. The analytical expressions of pricing formulas for variance swaps are presented. In addition, the numerical solutions for variance swaps, volatility swaps and options on variance are demonstrated.

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http://hdl.handle.net/10453/36678