After the recent financial crisis, the market for volatility derivatives has expanded rapidly to
meet the demand from investors, risk managers and speculators seeking diversification of …

This paper presents the first analytical pricing formulas for volatility swaps and volatility
options with discrete sampling under the Black-Scholes model with time varying risk-free …

In this paper, we introduce novel analytical solutions for valuating volatility derivatives,
including volatility options and capped/floored volatility swaps, employing discrete sampling …

We propose efficient algorithms for pricing discretely monitored arithmetic Asian options and
variance derivatives, which utilize the recursion of characteristic functions, quadrature over …

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of
the recent research results in pricing models of derivatives on discrete realized variance and …

We consider the saddlepoint approximation methods for pricing derivatives whose payoffs
depend on the discrete realized variance of the underlying price process of a risky asset …

We derive the short-maturity asymptotics for prices of options on realized variance in local-
stochastic volatility models. We consider separately the short-maturity asymptotics for out-of …

Fixed-income variance swaps became popular for investors to trade and hedge the
fluctuation of interest rates after the recent global financial crisis over the past few decades …

This note provides closed-form expressions for spatial Greeks (Delta and Gamma) for
discretely monitored realized variance swaps under several common parametric model …

We propose robust numerical algorithms for pricing variance options and volatility swaps on
discrete realized variance under general time-changed Lévy processes. Since analytic …