Pricing options on variance in affine stochastic volatility models
From MaRDI portal
(Redirected from Publication:3100749)
Recommendations
- Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models
- Quadratic hedging in affine stochastic volatility models
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
Cites work
- scientific article; zbMATH DE number 1466110 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Affine processes and applications in finance
- MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
- Mixed characteristic homological theorems in low degrees.
- Moment swaps
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- Valuation of volatility derivatives as an inverse problem
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
Cited in
(47)- Analytically pricing European options with a two-factor Stein-Stein model
- A consistent pricing model for index options and volatility derivatives
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
- The term structure of implied correlations between S\&P and VIX markets
- The impact of jump distributions on the implied volatility of variance
- Saddlepoint approximation methods for pricing derivatives on discrete realized variance
- Variational Analysis for Options with Stochastic Volatility and Multiple Factors
- Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model
- Volatility swaps and volatility options on discretely sampled realized variance
- On the multiplicity of option prices under CEV with positive elasticity of variance
- Quadratic hedging in affine stochastic volatility models
- Options on realized variance in log-OU models
- Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models
- Bessel processes, stochastic volatility, and timer options
- On general semi-closed-form solutions for VIX derivative pricing
- Weak approximations and VIX option price expansions in forward variance curve models
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- Root's barrier: construction, optimality and applications to variance options
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
- Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
- An efficient exponential twisting importance sampling technique for pricing financial derivatives
- Pricing options on discrete realized variance with partially exact and bounded approximations
- Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- The rough Hawkes Heston stochastic volatility model
- Pricing VIX options with stochastic volatility and random jumps
- The Alpha‐Heston stochastic volatility model
- Orthogonal expansions for VIX options under affine jump diffusions
- Log-normal stochastic volatility model with quadratic drift
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
- Short-maturity options on realized variance in local-stochastic volatility models
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- A didactic note on affine stochastic volatility models
- Asymptotic and exact pricing of options on variance
- Pricing joint claims on an asset and its realized variance in stochastic volatility models
- Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
- Pricing options on realized variance
- Smiles \& smirks: volatility and leverage by jumps
- Pricing variance swaps for stochastic volatilities with delay and jumps
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- A variational approach for pricing options and corporate bounds
- CBI-time-changed Lévy processes
- Exact simulation of a truncated Lévy subordinator
- Pricing of bond options. Unspanned stochastic volatility and random field models.
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
This page was built for publication: Pricing options on variance in affine stochastic volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3100749)
