Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-55645
Drimus, Gabriel G (2012). Options on realized variance in Log-OU models. Applied Mathematical Finance, 19(5):477-494.
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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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|Item Type:||Journal Article, refereed, original work|
|Communities & Collections:||03 Faculty of Economics > Department of Banking and Finance|
|Dewey Decimal Classification:||330 Economics|
|Deposited On:||20 Feb 2012 13:38|
|Last Modified:||02 Aug 2013 09:07|
|Publisher:||Taylor & Francis|
|Other Identification Number:||merlin-id:6012|
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