Semiclassical Pricing of Variance Swaps in the CEV Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F22%3A00125661" target="_blank" >RIV/00216224:14560/22:00125661 - isvavai.cz</a>
Result on the web
<a href="https://link.springer.com/chapter/10.1007/978-3-030-99638-3_5" target="_blank" >https://link.springer.com/chapter/10.1007/978-3-030-99638-3_5</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-030-99638-3_5" target="_blank" >10.1007/978-3-030-99638-3_5</a>
Alternative languages
Result language
angličtina
Original language name
Semiclassical Pricing of Variance Swaps in the CEV Model
Original language description
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.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/EF18_053%2F0016952" target="_blank" >EF18_053/0016952: Postdoc2MUNI</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical and Statistical Methods for Actuarial Sciences and Finance.
ISBN
9783030996376
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
25-30
Publisher name
Springer
Place of publication
Cham
Event location
Gothenburg
Event date
Jan 1, 2022
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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