Matches in SemOpenAlex for { <https://semopenalex.org/work/W4291781619> ?p ?o ?g. }
Showing items 1 to 94 of
94
with 100 items per page.
- W4291781619 endingPage "114672" @default.
- W4291781619 startingPage "114672" @default.
- W4291781619 abstract "In this paper, we present an analytical probabilistic approach for pricing nonlinear payoff volatility derivatives with discrete sampling by assuming that the underlying asset price evolves according to the Black–Scholes model with time-varying volatility. A major difficulty to solve the pricing problem analytically is the volatility of the underlying asset price is time-varying, resulting the realized variance is distributed according to a mixture distribution, the probability density function of which is unknown. By utilizing the properties of a linear combination of noncentral chi-square random variables, we can calculate the expectation of square root of the realized variance analytically and provide formulas for pricing volatility swaps, volatility options, and variance options, including put–call parity relationships. Furthermore, we demonstrate an interesting application of our formulas by constructing simple closed-form approximate formulas for pricing the volatility derivatives for the constant elasticity of variance model. Finally, Monte Carlo simulations are conducted to illustrate the performance our approach, and effects of price volatility on the fair strike prices of the volatility derivatives are investigated and analyzed through several numerical experiments." @default.
- W4291781619 created "2022-08-16" @default.
- W4291781619 creator A5053720312 @default.
- W4291781619 date "2023-01-01" @default.
- W4291781619 modified "2023-09-24" @default.
- W4291781619 title "Valuation of volatility derivatives with time-varying volatility: An analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case" @default.
- W4291781619 cites W146201616 @default.
- W4291781619 cites W1967867949 @default.
- W4291781619 cites W1983938237 @default.
- W4291781619 cites W2001474709 @default.
- W4291781619 cites W2042371022 @default.
- W4291781619 cites W2046518555 @default.
- W4291781619 cites W2053833776 @default.
- W4291781619 cites W2063896834 @default.
- W4291781619 cites W2064978316 @default.
- W4291781619 cites W2068101718 @default.
- W4291781619 cites W2072341612 @default.
- W4291781619 cites W2077791698 @default.
- W4291781619 cites W2078544605 @default.
- W4291781619 cites W2086546549 @default.
- W4291781619 cites W2095198545 @default.
- W4291781619 cites W2109617541 @default.
- W4291781619 cites W2144010262 @default.
- W4291781619 cites W2163208662 @default.
- W4291781619 cites W2179286921 @default.
- W4291781619 cites W3021444882 @default.
- W4291781619 cites W3123775409 @default.
- W4291781619 cites W3124818666 @default.
- W4291781619 cites W3126072850 @default.
- W4291781619 cites W3136986052 @default.
- W4291781619 cites W3197817145 @default.
- W4291781619 cites W69337820 @default.
- W4291781619 doi "https://doi.org/10.1016/j.cam.2022.114672" @default.
- W4291781619 hasPublicationYear "2023" @default.
- W4291781619 type Work @default.
- W4291781619 citedByCount "1" @default.
- W4291781619 countsByYear W42917816192023 @default.
- W4291781619 crossrefType "journal-article" @default.
- W4291781619 hasAuthorship W4291781619A5053720312 @default.
- W4291781619 hasConcept C105795698 @default.
- W4291781619 hasConcept C117996083 @default.
- W4291781619 hasConcept C121332964 @default.
- W4291781619 hasConcept C13290067 @default.
- W4291781619 hasConcept C144237770 @default.
- W4291781619 hasConcept C149782125 @default.
- W4291781619 hasConcept C158622935 @default.
- W4291781619 hasConcept C165603445 @default.
- W4291781619 hasConcept C192620184 @default.
- W4291781619 hasConcept C194483076 @default.
- W4291781619 hasConcept C22171661 @default.
- W4291781619 hasConcept C24189920 @default.
- W4291781619 hasConcept C2779834249 @default.
- W4291781619 hasConcept C33923547 @default.
- W4291781619 hasConcept C49937458 @default.
- W4291781619 hasConcept C62520636 @default.
- W4291781619 hasConcept C85393063 @default.
- W4291781619 hasConcept C91602232 @default.
- W4291781619 hasConceptScore W4291781619C105795698 @default.
- W4291781619 hasConceptScore W4291781619C117996083 @default.
- W4291781619 hasConceptScore W4291781619C121332964 @default.
- W4291781619 hasConceptScore W4291781619C13290067 @default.
- W4291781619 hasConceptScore W4291781619C144237770 @default.
- W4291781619 hasConceptScore W4291781619C149782125 @default.
- W4291781619 hasConceptScore W4291781619C158622935 @default.
- W4291781619 hasConceptScore W4291781619C165603445 @default.
- W4291781619 hasConceptScore W4291781619C192620184 @default.
- W4291781619 hasConceptScore W4291781619C194483076 @default.
- W4291781619 hasConceptScore W4291781619C22171661 @default.
- W4291781619 hasConceptScore W4291781619C24189920 @default.
- W4291781619 hasConceptScore W4291781619C2779834249 @default.
- W4291781619 hasConceptScore W4291781619C33923547 @default.
- W4291781619 hasConceptScore W4291781619C49937458 @default.
- W4291781619 hasConceptScore W4291781619C62520636 @default.
- W4291781619 hasConceptScore W4291781619C85393063 @default.
- W4291781619 hasConceptScore W4291781619C91602232 @default.
- W4291781619 hasLocation W42917816191 @default.
- W4291781619 hasOpenAccess W4291781619 @default.
- W4291781619 hasPrimaryLocation W42917816191 @default.
- W4291781619 hasRelatedWork W1833399920 @default.
- W4291781619 hasRelatedWork W2365677961 @default.
- W4291781619 hasRelatedWork W2785123668 @default.
- W4291781619 hasRelatedWork W3009269855 @default.
- W4291781619 hasRelatedWork W3046357205 @default.
- W4291781619 hasRelatedWork W3123272214 @default.
- W4291781619 hasRelatedWork W3143238395 @default.
- W4291781619 hasRelatedWork W3207029408 @default.
- W4291781619 hasRelatedWork W4320011907 @default.
- W4291781619 hasRelatedWork W4381167654 @default.
- W4291781619 hasVolume "418" @default.
- W4291781619 isParatext "false" @default.
- W4291781619 isRetracted "false" @default.
- W4291781619 workType "article" @default.