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 Schoebel-Zhu stochastic volatility models we give simple explicit expressions (improving Broadie and Jain (2008a) in the case of the...

Hybrid equity-rate derivatives are commonly traded between financial institutions, but are challenging to price with traditional methods. Especially challenging are those contracts which involve an explicit interest rate (fixing) dependence in the cashflows, which stretches typical...

Hybrid equity-rate derivatives are commonly traded between financial institutions, but are challenging to price with traditional methods. Especially challenging are those contracts which involve an explicit interest rate (fixing) dependence in the cashflows, which stretches typical...

This note provides closed-form expressions for spatial Greeks (Delta and Gamma) for discretely monitored realized variance swaps under several common parametric model assumptions. We derive closed-form results for stochastic volatility and exponential L´evy models, as well as some...

In this article, we investigate the pricing and convergence of general non-affine non-Gaussian GARCH-based variance swap prices. Explicit solutions for fair strike prices under two different sampling schemes are derived using the extended Girsanov principle as our pricing kernel candidate....

In this paper, we derive fully explicit closed-form expressions for the fair strike prices of discrete-time variance swaps under general affine GARCH type models that have been risk-neutralized with a family of variance dependent pricing kernels. The methodology relies on solving differential...