Probabilistic closed-form formulas for pricing nonlinear payoff variance and volatility derivatives under Schwartz model with time-varying log-return volatility

Nontawat Bunchak, Udomsak Rakwongwan, Phiraphat Sutthimat

This paper presents closed-form analytical formulas for pricing volatility and variance derivatives with nonlinear payoffs under discrete-time observations. The analysis is based o…