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2016 | OriginalPaper | Buchkapitel

3. Applications of the Change of Time Methods

verfasst von : Anatoliy Swishchuk

Erschienen in: Change of Time Methods in Quantitative Finance

Verlag: Springer International Publishing

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Abstract

In this chapter, we give an overview on applications of change of time methods considered in this book in Chapters 4–8 These applications include yet another (among many) derivation of the Black-Scholes formula; the derivation of option pricing formula for a mean-reverting asset in energy finance; pricing of variance, volatility, covariance, and correlation swaps for the classical Heston model; pricing of variance and volatility swaps in energy markets; pricing of financial and energy derivatives with multifactor Lévy models; and pricing of variance and volatility swaps and hedging of volatility swaps for the delayed Heston model. This chapter not only describes the applications of the change of time method but also constitutes the ultimate difference between Barndorff-Nielsen-Shiryaev’s book (2010) and present book.

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Vorheriges Kapitel Change of Time Methods: Definitions and Theory

Nächstes Kapitel Change of Time Method (CTM) and Black-Scholes Formula

The average absolute calibration error is defined to be the average of the absolute values of the differences between market and model implied Black & Scholes volatilities.

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Titel: Applications of the Change of Time Methods
verfasst von: Anatoliy Swishchuk
Verlag: Springer International Publishing
Buch: Change of Time Methods in Quantitative Finance
Print ISBN: 978-3-319-32406-7

Electronic ISBN: 978-3-319-32408-1

Copyright-Jahr: 2016
DOI: https://doi.org/10.1007/978-3-319-32408-1_3