Search citation statements

Order By: Relevance

Paper Sections

Select...
3
1
1

Citation Types

0
34
0

Year Published

2014
2014
2019
2019

Publication Types

Select...
3

Relationship

0
3

Authors

Journals

##### Cited by 20 publications
(34 citation statements)
##### References 33 publications
(34 reference statements)
0
34
0
Order By: Relevance
“…Remark It should be mentioned that the method we present in Appendix has significantly simplified the solution procedure compared with the other two approaches (under stochastic volatility models) in the literature. The first approach is based on Little and Pant's finite‐difference method via solving a system of coupled partial differential equations (see Cao & Fang, ; Zhu & Lian, , ). The second approach simplified the first one via iterated expectations through applying the method of undetermined coefficients in partial differential equations (see Rujivan & Zhu, , ; Zhang, ).…”
Section: The Modelmentioning
confidence: 99%
See 2 more Smart Citations
“…Remark It should be mentioned that the method we present in Appendix has significantly simplified the solution procedure compared with the other two approaches (under stochastic volatility models) in the literature. The first approach is based on Little and Pant's finite‐difference method via solving a system of coupled partial differential equations (see Cao & Fang, ; Zhu & Lian, , ). The second approach simplified the first one via iterated expectations through applying the method of undetermined coefficients in partial differential equations (see Rujivan & Zhu, , ; Zhang, ).…”
Section: The Modelmentioning
confidence: 99%
“…Under the Heston's stochastic volatility model (Heston, ), there are quite a few approaches to obtain closed‐form formulas for variance swaps based on discretely sampled realized variance: Broadie and Jain () presented the first‐order approximation based on integrating the underlying stochastic process directly. Zhu and Lian (, ) managed to derive closed‐form formulas by solving a system of coupled partial differential equations, and Rujivan and Zhu (, ) simplified the partial differential equations by iterated expectations. Motivated by these methods, different types of local or stochastic volatility models are adopted to derive the corresponding formulas for pricing discretely sampled variance swaps.…”
Section: Introductionmentioning
confidence: 99%
See 1 more Smart Citation
“…Zhu and Lian [12,13] also presented an approach to obtain closed-form formula for variance swaps, under the Heston's two-factor stochastic volatility model embedded in the framework proposed by Little and Pant [1] , based on the discretely-sampled realized variance with the realized variance being defined as the average of the squared relative percentage increment of the underlying price. Unlike Broadie and Jain's [4] approach, Zhu and Lian [12] found a much simpler formula by solving the governing PDE system directly, by using Fourier transform method.…”
Section: Introductionmentioning
confidence: 99%
“…Among stochastic volatility models, the one proposed by [66] has received a lot of attentions, since it gives a satisfactory description of the underlying asset dynamics [34,37]. Recently, Zhu and Lian [119,120] used Heston model to derive a closed form exact solution to the price of variance swaps.…”
Section: The Heston-cir Modelmentioning
confidence: 99%