Valuation of volatility derivatives as an inverse problem

DOI10.1080/14697680500362452MaRDI QIDQ3375397zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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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

Cited in

(22)

• Pricing options on variance in affine stochastic volatility models
• Implied filtering densities on the hidden state of stochastic volatility
• The inverse volatility problem for American options
• An inverse problem of determining the implied volatility in option pricing
• Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
• scientific article; zbMATH DE number 2095958 (Why is no real title available?)
• Optimal investment with derivatives and pricing in an incomplete market
• On Carr and Lee's correlation immunization strategy
• Extreme-strike comparisons and structural bounds for SPX and VIX options
• Numerical solution of two asset jump diffusion models for option valuation
• TARGET VOLATILITY OPTION PRICING
• On the difference between the volatility swap strike and the zero vanna implied 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
• Analysis of VIX markets with a time-spread portfolio
• Spectral methods for volatility derivatives
• Arithmetic variance swaps
• Implied integrated variance and hedging
• Pricing and hedging contingent claims using variance and higher order moment swaps

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