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• W2149057478 abstract "We propose robust numerical algorithms for pricing discrete variance options and volatil- ity swaps under general time-changed Levy processes. Since analytic pricing formulas of these derivatives are not available, some of the earlier pricing methods use the quadratic variation approximation for the discrete realized variance. While this approximation works quite well for long-maturity options on discrete realized variance, numerical accuracy dete- riorates for options with low frequency of monitoring and/or short maturity. To circumvent these shortcomings, we construct numerical algorithms that rely on the computation of the moment generating function of the discrete realized variance under the time-changed Levy models. We adopt the randomization of the Laplace transform of the discrete log return with a standard normal random variable and develop a recursive quadrature algorithm to compute the moment generating function of the discrete realized variance. Our pricing ap- proach is rather computationally efficient when compared with the Monte Carlo simulation and works particularly well for discrete realized variance and volatility derivatives with low frequency of monitoring and/or short maturity. The pricing properties of various variance and volatility derivatives under various time-changed Levy processes and the Heston model are also investigated." @default.
• W2149057478 created "2016-06-24" @default.
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• W2149057478 date "2014-01-01" @default.
• W2149057478 modified "2023-09-26" @default.
• W2149057478 title "Numerical Algorithms for Pricing Discrete Variance and Volatility Derivatives under Time-changed Levy Processes" @default.
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• W2149057478 hasPublicationYear "2014" @default.
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