Drimus, Gabriel G (2012). Options on realized variance in Log-OU models. Applied Mathematical Finance, 19(5):477-494.
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.
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.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Banking and Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Social Sciences & Humanities > Finance
Physical Sciences > Applied Mathematics |
| Language: | English |
| Date: | 2012 |
| Deposited On: | 20 Feb 2012 13:38 |
| Last Modified: | 23 Jan 2022 20:21 |
| Publisher: | Taylor & Francis |
| ISSN: | 1350-486X |
| OA Status: | Green |
| Publisher DOI: | https://doi.org/10.1080/1350486X.2011.639951 |
| Other Identification Number: | merlin-id:6012 |
Drimus, Gabriel G