Lian, Guanghua; Chiarella, Carl; Kalev, Petko S. - In: Journal of Economic Dynamics and Control 47 (2014) C, pp. 239-262
Volatility swaps and volatility options are financial products written on discretely sampled realized variance … volatility derivatives, under a general stochastic volatility model. We first obtain an accurate approximation for the … volatility derivatives through either semi-analytical pricing formulae (up to an inverse Fourier transform) or an efficient …