Howison, Sam; Rafailidis, Avraam; Rasmussen, Henrik - In: Applied Mathematical Finance 11 (2004) 4, pp. 317-346
The paper considers the pricing of a range of volatility derivatives, including volatility and variance swaps and swaptions. Under risk-neutral valuation closed-form formulae for volatility-average and variance swaps for a variety of diffusion and jump-diffusion models for volatility are...