Volatility swaps and variance options are financial products written on discretely sampled realized variance. Actively traded in over-the-counter markets, these products are priced often by a continuously sampled approximation to simplify the computations. This paper presents an analytical...

A numerical technique for the evaluation of American spread call options where the underlying asset dynamics evolve under the influence of a single stochastic variance process of the Heston (1993) type is presented. The numerical algorithm involves extending to the multi-dimensional setting the...

Margrabe provides a pricing formula for an exchange option where the distributions of both stock prices are log-normal with correlated Wiener components. Merton has provided a formula for the price of a European call option on a single stock where the stock price process contains a continuous...