The following pages link to Moment swaps (Q3375396):
Displayed 12 items.
- The herd behavior index: a new measure for the implied degree of co-movement in stock markets (Q414600) (← links)
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
- A Monte Carlo multi-asset option pricing approximation for general stochastic processes (Q508289) (← links)
- A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573) (← links)
- New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
- A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY (Q2925697) (← links)
- PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749) (← links)
- HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET (Q3161739) (← links)
- Spectral methods for volatility derivatives (Q3182744) (← links)
- THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS (Q3643591) (← links)
- HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS (Q5198954) (← links)
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case (Q5962135) (← links)