Valuation of volatility derivatives as an inverse problem

DOI10.1080/14697680500362452zbMATH Open1134.91417OpenAlexW2139274440MaRDI QIDQ3375397FDOQ3375397

Authors: Peter Friz, Jim Gatheral 

Publication date: 8 March 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500362452

Recommendations

• On the pricing and hedging of volatility derivatives
• The inverse volatility problem for European options
• Inverse problems in finance
• Pricing volatility derivatives under the modified constant elasticity of variance model
• Regularization for the inverse problem of finding the purely time-dependent volatility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• A theory of the term structure of interest rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Cited In (22)

• On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility
• An inverse problem of determining the implied volatility in option pricing
• The inverse volatility problem for American options
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
• Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
• Title not available (Why is that?)
• Optimal investment with derivatives and pricing in an incomplete market
• Analysis of VIX Markets with a Time-Spread Portfolio
• Numerical solution of two asset jump diffusion models for option valuation
• TARGET VOLATILITY OPTION PRICING
• Implied Filtering Densities on the Hidden State of Stochastic Volatility
• Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models
• Exact pricing with stochastic volatility and jumps
• Options on realized variance by transform methods: a non-affine stochastic volatility model
• Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates
• Spectral methods for volatility derivatives
• Arithmetic variance swaps
• Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options
• Implied integrated variance and hedging
• Pricing and hedging contingent claims using variance and higher order moment swaps
• On Carr and Lee’s Correlation Immunization Strategy
• Pricing options on variance in affine stochastic volatility models

This page was built for publication: Valuation of volatility derivatives as an inverse problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3375397)