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Can I read An Efficient Control Variate Method for Pricing Variance Derivatives on EtoBox?
An Efficient Control Variate Method for Pricing Variance Derivatives by JunMei Ma; Chenglong Xu is a Mathematics article available to read on EtoBox.
What is An Efficient Control Variate Method for Pricing Variance Derivatives about?
This paper studies the pricing of variance swap derivatives with stochastic volatility by the control variate method. A closed form solution is derived for the approximate model with deterministic volatility, which plays the key role in the paper, and an efficient control variate technique is therefore proposed when the volatility obeys the log-normal process. By the analysis of moments for the underlying processes, the optimal volatility function in the approximate model is constructed. The numerical results show the high efficiency of our method; the results coincide with the theoretical results. The idea in the paper is also applicable for the valuation of other types of variance swap, options with stochastic volatility and other financial derivatives with multi-factor models.
Who reads An Efficient Control Variate Method for Pricing Variance Derivatives?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- JunMei Ma; Chenglong Xu
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0377-0427)
- Published
- 2010
- Language
- EN
- Field
- Mathematics (Physical Sciences)