Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922): Difference between revisions

@@ Property / cites work @@
+The term structure of equity and variance risk premia
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+Prices and Asymptotics for Discrete Variance Swaps
+Normal rank
@@ Property / cites work @@
+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
+Normal rank
@@ Property / cites work @@
+Q4226822
@@ Property / cites work: Q4226822 / rank @@
+Normal rank
@@ Property / cites work @@
+Option valuation with IG-GARCH model and a U-shaped pricing kernel
+Normal rank
@@ Property / cites work @@
+Convex Order of Discrete, Continuous, and Predictable Quadratic Variation and  Applications to Options on Variance
+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 @@
+Asymptotic error distributions for the Euler method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Discretely sampled variance and volatility swaps versus their continuous approximations
+Normal rank
@@ Property / cites work @@
+GARCH and volatility swaps
@@ Property / cites work: GARCH and volatility swaps / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Volatility swaps and volatility options on discretely sampled realized variance
+Normal rank
@@ Property / cites work @@
+Smile from the past: a general option pricing framework with multiple volatility and leverage components
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+A tale of two option markets: pricing kernels and volatility risk
+Normal rank
@@ Property / cites work @@
+Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities
+Normal rank
@@ Property / cites work @@
+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
+Normal rank