discovered in Henry-Labordére (Analysis, geometry, and modeling in finance: advanced methods in option pricing. Chapman & Hall … closed form in terms of hypergeometric functions. Thus obtained new models could be useful for pricing volatility derivatives …

Volatility swaps and volatility options are financial products written on discretely sampled realized variance … volatility derivatives through either semi-analytical pricing formulae (up to an inverse Fourier transform) or an efficient … approximations in the literature. We remark that although discretely sampled variance swaps and options are usually more expensive …

pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities. The paper … popularity of derivative securities such as swaps, futures and options written on the volatility index VIX. Within this paper, we … literature. A numerical example involving the pricing of averaged variance, volatility, covariance and correlation swaps in a …