VIX derivatives, hedging and vol-of-vol risk (Q2286994): Difference between revisions

@@ Property / DOI @@
-.1016/j.ejor.2019.11.034
@@ Property / DOI: 10.1016/j.ejor.2019.11.034 / rank @@
-Normal rank
@@ Property / OpenAlex ID @@
+W2990768288
@@ Property / OpenAlex ID: W2990768288 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
+Normal rank
@@ Property / cites work @@
+Multivariate FX models with jumps: triangles, quantos and implied correlation
+Normal rank
@@ Property / cites work @@
+Robust option pricing
@@ Property / cites work: Robust option pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing VXX option with default risk and positive volatility skew
+Normal rank
@@ Property / cites work @@
+Post-'87 crash fears in the S\&P 500 futures option market
+Normal rank
@@ Property / cites work @@
+Empirical option pricing: A retrospection
@@ Property / cites work: Empirical option pricing: A retrospection / rank @@
+Normal rank
@@ Property / cites work @@
+Uncertainty Shocks as Second-Moment News Shocks
@@ Property / cites work: Uncertainty Shocks as Second-Moment News Shocks / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+The Impact of Uncertainty Shocks
@@ Property / cites work: The Impact of Uncertainty Shocks / rank @@
+Normal rank
@@ Property / cites work @@
+An approximate moving boundary method for American option pricing
+Normal rank
@@ Property / cites work @@
+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
+Normal rank
@@ Property / cites work @@
+An investigation of model risk in a market with jumps and stochastic volatility
+Normal rank
@@ Property / cites work @@
+A general framework for pricing Asian options under stochastic volatility on parallel architectures
+Normal rank
@@ Property / cites work @@
+Delta-hedging vega risk?
@@ Property / cites work: Delta-hedging vega risk? / rank @@
+Normal rank
@@ Property / cites work @@
+A fast calibrating volatility model for option pricing
+Normal rank
@@ Property / cites work @@
+Microstructural biases in empirical tests of option pricing models
+Normal rank
@@ Property / cites work @@
+The Valuation of Volatility Options
@@ Property / cites work: The Valuation of Volatility Options / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+An improved method for pricing and hedging long dated American options
+Normal rank
@@ Property / cites work @@
+An improved least squares Monte Carlo valuation method based on heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
+Normal rank
@@ Property / cites work @@
+The Model Confidence Set
@@ Property / cites work: The Model Confidence Set / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Wavelet-based option pricing: an empirical study
@@ Property / cites work: Wavelet-based option pricing: an empirical study / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing in an exponential mixedts Lévy process
+Normal rank
@@ Property / cites work @@
+The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
+Normal rank
@@ Property / cites work @@
+A market model for stochastic implied volatility
@@ Property / cites work: A market model for stochastic implied volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing with mean reversion and stochastic volatility
+Normal rank
@@ Property / Wikidata QID @@
+Q126745947
@@ Property / Wikidata QID: Q126745947 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.EJOR.2019.11.034
@@ Property / DOI: 10.1016/J.EJOR.2019.11.034 / rank @@
+Normal rank