Options on Realized Variance in Log-OU models

We study the pricing of options on realized variance in a general class of Log-OU stochastic volatility models. The class includes several important models proposed in the literature. Having as common feature the log-normal law of instantaneous variance, the application of standard Fourier-Laplace transform methods is not feasible. We derive extensions of Asian pricing methods, to obtain bounds, in particular, a very tight lower bound for options on realized variance

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Year of publication:	2012
Authors:	Drimus, Gabriel
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Varianzanalyse \| Analysis of variance \| Volatilität \| Volatility \| Optionsgeschäft \| Option trading \| Optionspreistheorie \| Option pricing theory \| Monte-Carlo-Simulation \| Monte Carlo simulation