Pages that link to "Item:Q5962135"
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The following pages link to Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case (Q5962135):
Displayed 26 items.
- Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process (Q256762) (← links)
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
- American option valuation under time changed tempered stable Lévy processes (Q1620146) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← links)
- Explicit solution simulation method for the 3/2 model (Q2080170) (← links)
- Analytically pricing volatility swaps under stochastic volatility (Q2351082) (← links)
- Pricing average options under time-changed Lévy processes (Q2447509) (← links)
- Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
- Risk adjustments of option prices under time-changed dynamics (Q2879017) (← links)
- CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (Q2927954) (← links)
- EXACT SIMULATION OF THE 3/2 MODEL (Q3166709) (← links)
- A dynamic equilibrium model for U-shaped pricing kernels (Q4554467) (← links)
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes (Q4554509) (← links)
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
- Prices and Asymptotics for Discrete Variance Swaps (Q4585896) (← links)
- Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
- Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes (Q4682477) (← links)
- Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models (Q4682488) (← links)
- Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model (Q4986444) (← links)
- Pricing Variance Swaps on Time-Changed Markov Processes (Q4999901) (← links)
- Variance swaps valuation under non-affine GARCH models and their diffusion limits (Q5234288) (← links)
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411) (← links)
- On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures (Q5874583) (← links)