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- W4327862461 abstract "We consider the pricing of discretely sampled volatility swaps under a modified Heston model, whose risk-neutralized volatility process contains a stochastic long-run variance level. We derive an analytical forward characteristic function under this model, which has never been presented in the literature before. Based on this, we further obtain an analytical pricing formula for volatility swaps which can guarantee the computational accuracy and efficiency. We also demonstrate the significant impact of the introduced stochastic long-run variance level on volatility swap prices with synthetic as well as calibrated parameters. doi: 10.1017/S144618112200013X" @default.
- W4327862461 created "2023-03-20" @default.
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- W4327862461 date "2023-03-19" @default.
- W4327862461 modified "2023-10-09" @default.
- W4327862461 title "Volatility swaps valuation under a modified risk-neutralized Heston model with a stochastic long-run variance level" @default.
- W4327862461 doi "https://doi.org/10.21914/anziamj.v64.17204" @default.
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