Semiclassical Pricing of Variance Swaps in the CEV Model

D 2022

Semiclassical Pricing of Variance Swaps in the CEV Model

ARANEDA, Axel A. a Marcelo J. VILLENA

Základní údaje

Originální název

Semiclassical Pricing of Variance Swaps in the CEV Model

Autoři

ARANEDA, Axel A. (152 Chile, domácí) a Marcelo J. VILLENA

Vydání

1. vyd. Cham, Mathematical and Statistical Methods for Actuarial Sciences and Finance. od s. 25-30, 6 s. 2022

Nakladatel

Springer

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50206 Finance

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

elektronická verze "online"

Odkazy

URL

Kód RIV

RIV/00216224:14560/22:00125661

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-3-030-99637-6

DOI

http://dx.doi.org/10.1007/978-3-030-99638-3_5

Klíčová slova anglicky

Path Integral; CEV model; Variance swap

Štítky

topvydavatel

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 22. 3. 2023 02:28, Axel Alejandro Araneda Barahona, Ph.D.

Anotace

V originále

Path integrals are a well-known tool in quantum mechanics and statistical physics. They could be used to derive the propagator or kernel of stochastic processes, analogous to solving the Fokker-Planck equation. In finance, they become an alternative tool to address the valuation of derivatives. Here, taking advantage of the hedging formula of the realized variance by means of the log contract, we use path integrals for the pricing of variance swaps under the Constant Elasticity of Variance (CEV) model, approximating analytically the propagator for the log contract by semiclassical arguments. Our results demonstrate that the semiclassical method provides an alternative and efficient computation which shows a high level of accuracy but at the same time lower execution times.

Návaznosti

EF18_053/0016952, projekt VaV

Název: Postdoc2MUNI

Citovat

ARANEDA, Axel A. a Marcelo J. VILLENA. Semiclassical Pricing of Variance Swaps in the CEV Model. Online. In Corazza, M., Perna, C., Pizzi, C., Sibillo, M. Mathematical and Statistical Methods for Actuarial Sciences and Finance. 1. vyd. Cham: Springer, 2022, s. 25-30. ISBN 978-3-030-99637-6. Dostupné z: https://dx.doi.org/10.1007/978-3-030-99638-3_5.

@inproceedings{1846978,
   author = {Araneda, Axel A. and Villena, Marcelo J.},
   address = {Cham},
   booktitle = {Mathematical and Statistical Methods for Actuarial Sciences and Finance.},
   doi = {http://dx.doi.org/10.1007/978-3-030-99638-3_5},
   edition = {1},
   editor = {Corazza, M., Perna, C., Pizzi, C., Sibillo, M.},
   keywords = {Path Integral; CEV model; Variance swap},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Cham},
   isbn = {978-3-030-99637-6},
   pages = {25-30},
   publisher = {Springer},
   title = {Semiclassical Pricing of Variance Swaps in the CEV Model},
   url = {https://link.springer.com/chapter/10.1007/978-3-030-99638-3_5},
   year = {2022}
}

TY  - JOUR
ID  - 1846978
AU  - Araneda, Axel A. - Villena, Marcelo J.
PY  - 2022
TI  - Semiclassical Pricing of Variance Swaps in the CEV Model
PB  - Springer
CY  - Cham
SN  - 9783030996376
KW  - Path Integral
KW  - CEV model
KW  - Variance swap
UR  - https://link.springer.com/chapter/10.1007/978-3-030-99638-3_5
N2  - Path integrals are a well-known tool in quantum mechanics and statistical physics. They could be used to derive the propagator or kernel of stochastic processes, analogous to solving the Fokker-Planck equation. In finance, they become an alternative tool to address the valuation of derivatives. Here, taking advantage of the hedging formula of the realized variance by means of the log contract, we use path integrals for the pricing of variance swaps under the Constant Elasticity of Variance (CEV) model, approximating analytically the propagator for the log contract by semiclassical arguments. Our results demonstrate that the semiclassical method provides an alternative and efficient computation which shows a high level of accuracy but at the same time lower execution times.
ER  -

ARANEDA, Axel A. a Marcelo J. VILLENA. Semiclassical Pricing of Variance Swaps in the CEV Model. Online. In Corazza, M., Perna, C., Pizzi, C., Sibillo, M. \textit{Mathematical and Statistical Methods for Actuarial Sciences and Finance.}. 1. vyd. Cham: Springer, 2022, s.~25-30. ISBN~978-3-030-99637-6. Dostupné z: https://dx.doi.org/10.1007/978-3-030-99638-3\_{}5.

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