Pricing variance swaps under stochastic volatility has been an important subject pursued recently. Various approaches have been proposed, mainly due to the substantially increased trading activities of volatility-rela...Pricing variance swaps under stochastic volatility has been an important subject pursued recently. Various approaches have been proposed, mainly due to the substantially increased trading activities of volatility-related derivatives in the past few years. In this note, the authors develop analytical method for pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck(OU) process. By using Fourier transform algorithm, a closed-form solution for pricing variance swaps with stochastic volatility is obtained, and to give a comparison of fair strike value based on the discrete model, continuous model, and the Monte Carlo simulations.展开更多
A form invariance of Raitzin's canonical equations of relativistie mechanical system is studied. First, the Raitzin's canonical equations of the system are established. Next, the definition and criterion of th...A form invariance of Raitzin's canonical equations of relativistie mechanical system is studied. First, the Raitzin's canonical equations of the system are established. Next, the definition and criterion of the form invariance in the system under infinitesimal transformations of groups are given. Finally,the relation between the form invariance and the conserved quantity of the system is obtained and an example is given to illustrate the application of the result.展开更多
基金supported by the National Social Science Fund of China under Grant No.14ATJ005Anhui Provincial Natural Science Foundation under Grant Nos.1308085MF93 and 1408085MKL84the National Natural Science Foundations of China under Grant No.11401556
文摘Pricing variance swaps under stochastic volatility has been an important subject pursued recently. Various approaches have been proposed, mainly due to the substantially increased trading activities of volatility-related derivatives in the past few years. In this note, the authors develop analytical method for pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck(OU) process. By using Fourier transform algorithm, a closed-form solution for pricing variance swaps with stochastic volatility is obtained, and to give a comparison of fair strike value based on the discrete model, continuous model, and the Monte Carlo simulations.
文摘A form invariance of Raitzin's canonical equations of relativistie mechanical system is studied. First, the Raitzin's canonical equations of the system are established. Next, the definition and criterion of the form invariance in the system under infinitesimal transformations of groups are given. Finally,the relation between the form invariance and the conserved quantity of the system is obtained and an example is given to illustrate the application of the result.
