Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform

no code implementations • 1 May 2022 • Jiling Cao, Jeong-Hoon Kim, Xi Li, Wenjun Zhang

In this paper, we derive closed-form formulas of first-order approximation for down-and-out barrier and floating strike lookback put option prices under a stochastic volatility model, by using an asymptotic approach.

Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure

no code implementations • 30 Oct 2016 • Teh Raihana Nazirah Roslan, Wenjun Zhang, Jiling Cao

This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization.