Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "10660"
  #_source: array:26 [
    "id" => "10660"
    "slug" => "valuation-of-options-on-discretely-sampled-variance-a-general-analytic-approximation"
    "yearMonth" => "2016-12"
    "year" => "2016"
    "title" => "Valuation of options on discretely sampled variance: A general analytic approximation"
    "description" => "DRIMUS, G., FARKAS, W. et GOURIER, E. (2016). Valuation of options on discretely sampled variance: A general analytic approximation. <i>Journal of Computational Finance</i>, 20(2), pp. 39-66."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "GOURIER Elise"
        "bid" => "B00751169"
        "slug" => "gourier-elise"
      ]
      1 => array:1 [
        "name" => "DRIMUS Gabriel"
      ]
      2 => array:1 [
        "name" => "FARKAS Walter"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:2 [
      0 => "realized variance"
      1 => "discretization frequency"
    ]
    "updatedAt" => "2021-09-24 10:33:27"
    "publicationUrl" => "https://www.risk.net/journal-of-computational-finance/2457210/valuation-of-options-on-discretely-sampled-variance-a-general-analytic-approximation"
    "publicationInfo" => array:3 [
      "pages" => "39-66"
      "volume" => "20"
      "number" => "2"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "La valeur des options sur la variance réalisée est impactée de façon significative par l'échantillonnage discret de la variance réalisée. Cette valeur peut être beaucoup plus élevée que la valeur d'options sur la variance continue. Nous analysons l'effet de la discrétisation et proposons une correction à appliquer afin d'obtenir la valeur d'options sur la variance discrète à partir de la valeur d'options sur la variance continue."
      "en" => "The values of options on realized variance are significantly impacted by the discrete sampling of realized variance and may be substantially higher than the values of options on continuously sampled variance. Under general stochastic volatility dynamics, we analyze the discretization effect and obtain an analytical correction term to be applied to the value of options on continuously sampled variance. The result allows for a straightforward implementation in many of the standard stochastic volatility models proposed in the literature. Finally, we compare the performance of different numerical methods for pricing options on discretely sampled variance and give recommendations based on the option's characteristics."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-21T22:21:43.000Z"
    "docTitle" => "Valuation of options on discretely sampled variance: A general analytic approximation"
    "docSurtitle" => "Articles"
    "authorNames" => "<a href="/cv/gourier-elise">GOURIER Elise</a>, DRIMUS Gabriel, FARKAS Walter"
    "docDescription" => "<span class="document-property-authors">GOURIER Elise, DRIMUS Gabriel, FARKAS Walter</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2016</span>"
    "keywordList" => "<a href="#">realized variance</a>, <a href="#">discretization frequency</a>"
    "docPreview" => "<b>Valuation of options on discretely sampled variance: A general analytic approximation</b><br><span>2016-12 | Articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://www.risk.net/journal-of-computational-finance/2457210/valuation-of-options-on-discretely-sampled-variance-a-general-analytic-approximation" target="_blank">Valuation of options on discretely sampled variance: A general analytic approximation</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 9.025856
  +"parent": null
}