Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields
S Rujivan - Communications in Mathematical Sciences, 2021 - intlpress.com
In this paper we present an analytical formula for pricing discretely-sampled variance swaps
with the realized variance being defined in terms of squared log return of the underlying …
with the realized variance being defined in terms of squared log return of the underlying …
A closed-form formula for pricing variance swaps on commodities
A Weraprasertsakun, S Rujivan - Vietnam Journal of Mathematics, 2017 - Springer
This paper presents an analytical approach for pricing discretely sampled variance swaps,
when the underlying asset is set to be a commodity. We consider a variance swap with its …
when the underlying asset is set to be a commodity. We consider a variance swap with its …
Option Pricing Using Stochastic Volatility Model Under Fourier Transform of Nonlinear Differential Equation
Z Liu, Y Wang, Y Cheng, T Saeed, Y Ye - Fractals, 2022 - World Scientific
The purposes are to solve the option pricing problem in financial derivatives and provide a
practical basis for reducing the risk rate of the financial market. First, the classification of …
practical basis for reducing the risk rate of the financial market. First, the classification of …
Pricing volatility-equity options under the modified constant elasticity of variance model
X Wang - Finance Research Letters, 2021 - Elsevier
This paper studies volatility-equity options such as the target volatility options and the
double digital call under the modified constant elasticity of variance model. Adopting the …
double digital call under the modified constant elasticity of variance model. Adopting the …