Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model

Leunglung Chan and Eckhard Platen ()

No 360, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: 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.

Keywords: CEV model; volatility derivatives; benchmark approach (search for similar items in EconPapers)
Pages: 16 pages
Date: 2015-06-01
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Citations: View citations in EconPapers (1)

Published as: Chan, L. and Platen, E., 2015, "Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model", Operations Research Letters, 43(4), 419-422.

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