英文标题：
《Convergence of the discrete variance swap in time-homogeneous diffusion
models》
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作者：
Carole Bernard, Zhenyu Cui, Don McLeish
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最新提交年份：
2013
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英文摘要：
In stochastic volatility models based on time-homogeneous diffusions, we provide a simple necessary and sufficient condition for the discretely sampled fair strike of a variance swap to converge to the continuously sampled fair strike. It extends Theorem 3.8 of Jarrow, Kchia, Larsson and Protter (2013) and gives an affirmative answer to a problem posed in this paper in the case of 3/2 stochastic volatility model. We also give precise conditions (not based on asymptotics) when the discrete fair strike of the variance swap is higher than the continuous one and discuss the convex order conjecture proposed by Keller-Ressel and Griessler (2012) in this context.
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中文摘要：
在基于时间齐次扩散的随机波动率模型中，我们提供了一个简单的充要条件，使得离散采样的方差互换的公平罢工收敛到连续采样的公平罢工。它扩展了Jarrow、Kchia、Larsson和Protter（2013）的定理3.8，并在3/2随机波动率模型的情况下对本文提出的问题给出了肯定的回答。我们还给出了方差交换的离散公平罢工高于连续公平罢工的精确条件（不基于渐近性），并在此背景下讨论了Keller-Ressel和Griessler（2012）提出的凸阶猜想。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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