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...

In stochastic volatility models based on time-homogeneous diff usions, we provide a simple necessary and suffi cient condition for the discretely sampled fair strike of a variance swap to converge to the continuously sampled fair strike. It extends Theorem 3.8 of Jarrow, Kchia, Larsson and...

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...