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Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models
Zeng, Pingping; Kwok, Yue-Kuen; Zheng, Wendong - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-26
Persistent link: https://www.econbiz.de/10011404362
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Convexity meets replication : hedging of swap derivatives and annuity options
Zheng, Wendong; Kwok, Yue-Kuen - In: The journal of futures markets 31 (2011) 7, pp. 659-678
Persistent link: https://www.econbiz.de/10009009213
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Closed form pricing formulas for discretely sampled generalized variance swaps
Zheng, Wendong; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 855-881
Persistent link: https://www.econbiz.de/10011308159
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Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 21 (2014) 1/2, pp. 1-31
Persistent link: https://www.econbiz.de/10010351861
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Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
Zheng, Wendong; Yuen, Chi Hung; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10011455019
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Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
Yuen, Chi Hung; Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 22 (2015) 5/6, pp. 421-449
Persistent link: https://www.econbiz.de/10011490606
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Pricing models of volatility products and exotic variance derivatives
Kwok, Yue-Kuen; Zheng, Wendong - 2022 - First edition
1. Volatility Trading and Variance Derivatives. 1.1. Implied Volatility and Local Volatility. 1.2. Volatility Trading using Options. 1.3. Derivatives on Discrete Realized Variance. 1.4. Replication of Variance Swaps. 1.5. Practical Implementation of Replication: Finite Strikes and Discrete...
Persistent link: https://www.econbiz.de/10013460707
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Closed-Form Partial Transform of Triple Joint Density for Pricing Exotic Options and Variance Derivatives Under the 3/2 Model
Zheng, Wendong - 2014
Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model is reported to be able to capture the volatility skew evolution better than...
Persistent link: https://www.econbiz.de/10013055819
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Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Zheng, Wendong; Zeng, Pingping - In: Applied mathematical finance 23 (2016) 5/6, pp. 344-373
Persistent link: https://www.econbiz.de/10011704259
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Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Zheng, Wendong; Zeng, Pingping - arXiv.org - 2015
Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model is reported to be able to capture the volatility skew evolution better than...
Persistent link: https://www.econbiz.de/10011269195