Honglei Zhao

Hanlon Financial Systems Lab

Lab Assistant

Hoboken, NJ 07030

United States

Stevens Institute of Technology

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees

Journal of Derivatives, Vol. 25, No. 2, 2017, Stevens Institute of Technology School of Business Research Paper, https://doi.org/10.3905/jod.2017.25.2.007
Posted: 20 May 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology - School of Business
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Abstract:

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variance swap, gamma swap, corridor swap, realized variance, stochastic volatility models, tree approximations

2.

Pricing Bermudan Variance Swaptions Using Multinomial Trees

The Journal of Derivatives Spring 2019, 26 (3) 22-34, http://jod.pm-research.com/content/26/3/22
Posted: 15 Jun 2018 Last Revised: 05 Oct 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology - School of Business

Abstract:

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variance swaption, stochastic volatility, multinomial tree