ABSTRACT
We focus on different analytic methods for pricing various variance swap products and volatility swaps under stochastic volatility models (affine model and 3/2- model). The products include exotic variance swaps, like the gamma swaps and corridor type swaps. We discuss the direct expectation approach, nested expectation via partial integro-differential equation and moment generating function method. Nice analytical tractability are revealed in these analytic methods. Pricing methods for various variance swap products under the L´evy models are also presented. In addition, we consider the continuous limit of deducing the fair strike formulas of variance swap products under con- tinuous sampling of realized variance from those under discrete realized variance. [106 words]
