Implied integrated variance and hedging

DOI10.1080/14697688.2014.1002418MaRDI QIDQ4683083zbMATH OpenOpenAlexFDO

Authors Ruth Kaila

Publication date 19 September 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2014.1002418

zbMATH Keywords

Bayesian methodshedging optionsintegrated variancestatistical inverse problemsstochastic volatility

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model
• Variance-Optimal Hedging in General Affine Stochastic Volatility Models
• Quadratic hedging in affine stochastic volatility models
• Stochastic implied volatility. A factor-based model.

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• An affine property of the reciprocal Asian option process
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Contingent claims and market completeness in a stochastic volatility model.
• Equation of state calculations by fast computing machines
• Linear integral equations
• Monte Carlo sampling methods using Markov chains and their applications
• On the Distribution Function and Moments of Power Sums With Log-Normal Components
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Statistical and computational inverse problems.
• Tail of the distribution of sums of log-normal variates
• The pricing of options on assets with stochastic volatilities
• Two singular diffusion problems
• Valuation of volatility derivatives as an inverse problem

Cited in

(7)

• Overstatement of implied variance in the dollar/yen currency option market
• Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model
• Variance-Optimal Hedging in General Affine Stochastic Volatility Models
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Hedging options in the incomplete market with stochastic volatility
• Weighted variance swaps hedge against impermanent loss
• Inference for volatility-type objects and implications for hedging

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