Pricing variance and volatility swaps: a Monte Carlo simulation technique benchmarked to two closed-form solutions

Rostan Pierre; Rostan Alexandra; Ait El Trach Abderrazak; Mercier Stéphane

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Pricing variance and volatility swaps: a Monte Carlo simulation technique benchmarked to two closed-form solutions

机译：定价方差和波动率互换：以两种封闭形式的解决方案为基准的蒙特卡洛模拟技术

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Our paper introduces an innovative variance reduction technique to improve Monte Carlo (MC) simulation when pricing variance and volatility swaps. This technique previously applied to the pricing of bond options, speeds up the convergence of estimators and improves MC results benchmarked to two closed-form solutions: Demeterfi et al. (1999) and Javaheri et al. (2004). The variance reduction technique constrains the Wiener process inside upper and lower limits to speed up the convergence towards the 'true' strike values of the swaps obtained with the closed-form solutions. Market participants in needs of accurate numerical methods for pricing variance and volatility swaps will find our methodology appealing and easy to implement.

机译：本文介绍了一种创新的方差减少技术，可在定价方差和波动率互换时改进蒙特卡洛（MC）仿真。这项技术以前应用于债券期权的定价，加快了估计量的收敛速度，并改进了以两种封闭形式的解决方案为基准的MC结果：（1999）和Javaheri等。（2004）。方差减少技术将维纳过程限制在上限和下限之内，以加快收敛到采用闭式解获得的掉期的“真实”行使价。对于价格差异和波动掉期的精确数值方法需要市场参与者，他们会发现我们的方法有吸引力并且易于实施。

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《AESTIMATIO: the IEB International Journal of Finance》 |2012年第5期|共26页
作者
Rostan Pierre; Rostan Alexandra; Ait El Trach Abderrazak; Mercier Stéphane;
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中图分类世界金融、银行;
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机译：定价方差的封闭形式精确解决方案与随机波动率交换

Pricing variance and volatility swaps: a Monte Carlo simulation technique benchmarked to two closed-form solutions

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