Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps

Anatoliy Swishchuk
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Anatoliy Swishchuk: University of Calgary, Canada

Chapter 9 in Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 2013, pp 113-135 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionStochastic Volatility with DelayPricing Model of Variance Swaps for Stochastic Volatility with Delay and JumpsSimple Poisson Process CaseCompound Poisson Process CaseMore General CaseDelay as a Measure of RiskNumerical ExampleSummaryBibliography

Keywords: Stochastic Volatilities; Variance; Volatility; Covariance; Correlation Swaps; Change of Time; Option Pricing; Stochastic Volatilities with Delay; Multi-Factor Stochastic Volatilities Models; Regime-Switching Stochastic Volatilities; Levy-Based Stochastic Volatilities with Delay; COGARCH Stochastic Volatility; Stochastic Volatility Driven by Fractional Brownian Motion; Delayed Heston Model; Semi-Markov Stochastic Volatilities; Energy Markets; Forward and Futures in Energy Markets (search for similar items in EconPapers)
Date: 2013
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