We propose robust numerical algorithms for pricing discrete variance options and volatility swaps under general time … volatility derivatives with low frequency of monitoring and/or short maturity. The pricing properties of various variance and … volatility derivatives under various time-changed Lèvy processes and the Heston model are also investigated …

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period … averaging results in geometric swap price dynamics. Our framework allows for including typical features as the Samuelson effect …, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …