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• W2522367043 abstract "We present a superconvergent finite difference algorithm to price discretely sampled variance swaps. We consider the Black–Scholes model, the Merton’s jump–diffusion model, stochastic volatility models that use constant-elasticity of variance for the instantaneous variance and corresponding regime switching models. PDE approach provides a universal and efficient framework for pricing under these models. To obtain extremely accurate results, we solve PDEs whose associated terminal conditions can be represented as second-order polynomials based on the two popular definitions of realised variance and for which the spatial derivatives greater than second-order are all zero. We then apply second-order finite difference discretisations in space with an exponential time integration. We also derive analytical solutions under the Merton’s model and some regime switching models to validate our superconvergent results." @default.
• W2522367043 created "2016-09-30" @default.
• W2522367043 creator A5009564032 @default.
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• W2522367043 date "2017-07-01" @default.
• W2522367043 modified "2023-10-13" @default.
• W2522367043 title "A superconvergent partial differential equation approach to price variance swaps under regime switching models" @default.
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• W2522367043 doi "https://doi.org/10.1016/j.cam.2016.09.001" @default.
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