Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic volatility models … corresponding market and the non-observability of the associated volatility process. In this paper we introduce new pricing kernels … for this setup and apply two existing volatility filtering techniques available in the literature for these models, namely …

Volatility swaps and variance options are financial products written on discretely sampled realized variance. Actively … computations. This paper presents an analytical approach to efficiently and accurately price discretely sampled volatility … derivatives, under the Heston stochastic volatility model. We first obtain an accurate approximation for the characteristic …

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period … averaging results in geometric swap price dynamics. Our framework allows for including typical features as the Samuelson effect …, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …