We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull--White and Schöbel--Zhu stochastic volatility models, we give simple explicit expressions (improving Broadie and Jain (2008a). The effect of...

In this note, we correct the formula given in Ref. [3] for European call and put option under Merton's model of the short rate. We give a probabilistic derivation making use of the “change of numeraire” technique which is simpler and more standard.

We correct the results in Proposition 2.2 (p. 2078) of Chen et al. (2011) [1] and the part on comparison of prudence levels on p. 2081.

The papers (Forde and Jacquier in Finance Stoch. 15:755–780, <CitationRef CitationID="CR1">2011</CitationRef>; Forde et al. in Finance Stoch. 15:781–784, <CitationRef CitationID="CR2">2011</CitationRef>) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755–780, <CitationRef CitationID="CR1">2011</CitationRef>), Forde et al. (Finance...</citationref></citationref></citationref>

This paper presents a new approach to perform a nearly unbiased simulation using inversion of the characteristic function. As an application we are able to give unbiased estimates of the price of forward starting options in the Heston model and of continuously monitored Parisian options in the...