VIX derivatives, hedging and vol-of-vol risk (Q2286994): Difference between revisions

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+Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
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+Multivariate FX models with jumps: triangles, quantos and implied correlation
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+Robust option pricing
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+Pricing VXX option with default risk and positive volatility skew
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+Post-'87 crash fears in the S\&P 500 futures option market
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+Empirical option pricing: A retrospection
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+Uncertainty Shocks as Second-Moment News Shocks
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+The Pricing of Options and Corporate Liabilities
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+The Impact of Uncertainty Shocks
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+An approximate moving boundary method for American option pricing
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+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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+An investigation of model risk in a market with jumps and stochastic volatility
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+A general framework for pricing Asian options under stochastic volatility on parallel architectures
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+Delta-hedging vega risk?
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+A fast calibrating volatility model for option pricing
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+Microstructural biases in empirical tests of option pricing models
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+The Valuation of Volatility Options
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+An improved method for pricing and hedging long dated American options
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+An improved least squares Monte Carlo valuation method based on heteroscedasticity
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+Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
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+The Model Confidence Set
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
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+A Jump-Diffusion Model for Option Pricing
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+Wavelet-based option pricing: an empirical study
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+Option pricing in an exponential mixedts Lévy process
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+The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
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+A market model for stochastic implied volatility
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+Option pricing with mean reversion and stochastic volatility
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