Variance swaps valuation under non-affine GARCH models and their diffusion limits (Q5234288): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: The term structure of equity and variance risk premia / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and Forecasting Realized Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic hedging schemes for non-Gaussian GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian GARCH option pricing models and their diffusion limits / rank
 
Normal rank
Property / cites work
 
Property / cites work: Prices and Asymptotics for Discrete Variance Swaps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Variance trading and market price of variance risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing for GARCH-type models with generalized hyperbolic innovations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option valuation with IG-GARCH model and a U-shaped pricing kernel / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option valuation with conditional skewness / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE GARCH OPTION PRICING MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Augmented GARCH\((p,q)\) process and its diffusion limit / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Discrete Time Equivalent Martingale Measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic error distributions for the Euler method for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discretely sampled variance and volatility swaps versus their continuous approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH models as diffusion approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: GARCH options via local risk minimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Methods and Volatility Models for Valuing Cliquet Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY / rank
 
Normal rank

Latest revision as of 13:43, 20 July 2024

scientific article; zbMATH DE number 7110413
Language Label Description Also known as
English
Variance swaps valuation under non-affine GARCH models and their diffusion limits
scientific article; zbMATH DE number 7110413

    Statements

    Variance swaps valuation under non-affine GARCH models and their diffusion limits (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    26 September 2019
    0 references
    0 references
    0 references
    0 references
    0 references
    variance swaps
    0 references
    non-Gaussian GARCH models
    0 references
    extended Girsanov principle
    0 references
    diffusion limits
    0 references
    CBOE VIX
    0 references
    0 references