Pages that link to "Item:Q4585896"
From MaRDI portal
The following pages link to Prices and Asymptotics for Discrete Variance Swaps (Q4585896):
Displayed 24 items.
- An investigation of model risk in a market with jumps and stochastic volatility (Q323232) (← links)
- Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119) (← links)
- Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← links)
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
- A general property for time aggregation (Q2030709) (← links)
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922) (← links)
- A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
- Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
- Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models (Q4682488) (← links)
- Variance Swap Pricing under Hybrid Jump Model (Q4986618) (← links)
- A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE (Q5051186) (← links)
- The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (Q5146449) (← links)
- Variance swaps valuation under non-affine GARCH models and their diffusion limits (Q5234288) (← links)
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
- The asymptotic expansion of the regular discretization error of Itô integrals (Q6054137) (← links)