Header

UZH-Logo

Maintenance Infos

Options on realized variance in Log-OU models


Drimus, Gabriel G (2012). Options on realized variance in Log-OU models. Applied Mathematical Finance, 19(5):477-494.

Abstract

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.

Abstract

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.

Statistics

Citations

Dimensions.ai Metrics

6 citations in Scopus®
3 citations in Microsoft Academic
Google Scholar™

Altmetrics

Downloads

281 downloads since deposited on 20 Feb 2012
107 downloads since 12 months
Detailed statistics

Additional indexing

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:11 Mar 2020 22:35
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

Download

Green Open Access

Download PDF  'Options on realized variance in Log-OU models'.
Preview
Content: Accepted Version
Filetype: PDF
Size: 322kB
View at publisher