Variance and volatility swaps valuations with the stochastic liquidity risk (Q2068493): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5454921 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index / rank
 
Normal rank
Property / cites work
 
Property / cites work: Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option / rank
 
Normal rank
Property / cites work
 
Property / cites work: A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analytically pricing volatility swaps under stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing variance swaps under stochastic volatility and stochastic interest rate / rank
 
Normal rank
Property / cites work
 
Property / cites work: A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate / rank
 
Normal rank
Property / cites work
 
Property / cites work: COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Variance swaps valuation under non-affine GARCH models and their diffusion limits / rank
 
Normal rank
Property / cites work
 
Property / cites work: Closed-form variance swap prices under general affine GARCH models and their continuous-time limits / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general framework for time-changed Markov processes and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case / rank
 
Normal rank
Property / cites work
 
Property / cites work: VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analytical valuation for geometric Asian options in illiquid markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the pricing and hedging of volatility derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic calculus for finance. II: Continuous-time models. / 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: Q5493536 / rank
 
Normal rank
Property / cites work
 
Property / cites work: LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3511640 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4550923 / rank
 
Normal rank

Revision as of 18:16, 27 July 2024

scientific article
Language Label Description Also known as
English
Variance and volatility swaps valuations with the stochastic liquidity risk
scientific article

    Statements

    Variance and volatility swaps valuations with the stochastic liquidity risk (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    19 January 2022
    0 references
    variance swaps
    0 references
    volatility swaps
    0 references
    stochastic liquidity risk
    0 references
    characteristic function
    0 references
    limiting properties
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers