STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (Q2847239): Difference between revisions

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+Spectral methods for volatility derivatives
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+Consistent variance curve models
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+Pricing options on realized variance
@@ Property / cites work: Pricing options on realized variance / rank @@
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+A Theory of the Term Structure of Interest Rates
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+The Valuation of Volatility Options
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+Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
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+Two singular diffusion problems
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+A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps
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+Large Sample Properties of Generalized Method of Moments Estimators
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+On the pricing and hedging of volatility derivatives
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+Q4794127
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+Q4942767
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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