A Closed-Form Expansion Approach for Pricing Discretely Monitored Variance Swaps - Online Supplementary Material

13 Pages Posted: 16 May 2015

See all articles by Chenxu Li

Chenxu Li

Peking University - Guanghua School of Management

Xiaocheng Li

Imperial College Business School

Date Written: May 9, 2015

Abstract

This supplementary material for A Closed-form Expansion Approach for Pricing Discretely Monitored Variance Swaps contains (1) more details on the computational results (Section 1), (2) an illustration of expansion formulas (Section 2), and (3) an interpretation of our expansions for the examples (Section 3).

Keywords: variance swaps, discretely monitored, jump-diffusion models, stochastic volatility, closed-form expansion

JEL Classification: G12; C51

Suggested Citation

Li, Chenxu and Li, Xiaocheng, A Closed-Form Expansion Approach for Pricing Discretely Monitored Variance Swaps - Online Supplementary Material (May 9, 2015). Available at SSRN: https://ssrn.com/abstract=2604517 or http://dx.doi.org/10.2139/ssrn.2604517

Chenxu Li (Contact Author)

Peking University - Guanghua School of Management ( email )

Guanghua School of Management
Beijing, 100871
China

Xiaocheng Li

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
86
Abstract Views
713
Rank
433,158
PlumX Metrics