Analytically pricing volatility swaps under stochastic volatility (Q2351082): Difference between revisions

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+On the pricing and hedging of volatility derivatives
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+Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
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+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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+Pricing variance swaps for stochastic volatilities with delay and jumps
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+Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Realized power variation and stochastic volatility models
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+A Theory of the Term Structure of Interest Rates
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+Financial Modelling with Jump Processes
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+Probability distribution of returns in the Heston model with stochastic volatility*
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+The sample autocorrelations of heavy-tailed processes with applications to ARCH
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+Q4377681
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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