Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process (Q256762): Difference between revisions

@@ 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 EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
+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 @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
+Normal rank
@@ Property / cites work @@
+Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
+Normal rank
@@ Property / cites work @@
+Consistent variance curve models
@@ Property / cites work: Consistent variance curve models / rank @@
+Normal rank
@@ Property / cites work @@
+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
+Normal rank
@@ Property / cites work @@
+On the valuation of variance swaps with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+Equilibrium Models With Singular Asset Prices
@@ Property / cites work: Equilibrium Models With Singular Asset Prices / rank @@
+Normal rank