Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+Q5346679
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+Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
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+Martingales and stochastic integrals in the theory of continuous trading
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+A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
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+VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
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+Q4839745
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+Asymptotic and exact pricing of options on variance
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+Volatility swaps and volatility options on discretely sampled realized variance
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+SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
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+Q4905685
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+On some fractional generalizations of the Laguerre polynomials and the Kummer function
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+A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
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+A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL
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+A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL
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+A closed-form formula for the conditional moments of the extended CIR process
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+Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields
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+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
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+Pricing variance swaps for stochastic volatilities with delay and jumps
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+Variance and volatility swaps valuations with the stochastic liquidity risk
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+A closed-form formula for pricing variance swaps on commodities
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+Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
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+Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
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+CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
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+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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+On the valuation of variance swaps with stochastic volatility
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+On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures
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