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Title:

Pricing options on variance in affine stochastic volatility models

Document type:
Zeitschriftenaufsatz
Author(s):
Muhle-Karbe, J., Kallsen, J.; Voß, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
We consider the pricing of options written on the quadratic variation of a given stock price process. Using the Laplace transform approach, we determine semi-explicit formulas in general affine models allowing for jumps, stochastic volatility and the leverage effect. Moreover, we show that the joint dynamics of the underlying stock and a corresponding variance swap again are of affine form. Finally, we present a numerical example for the Barndorff-Nielsen and Shephard model with leverage [1]. In...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Mathematical Finance
Year:
2009
Pages contribution:
-
Language:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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