scientific article; zbMATH DE number 1253577
From MaRDI portal
Publication:4226822
Collections of articles of miscellaneous specific interest (00B15) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Recommendations
Cited in
(24)- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
- It only takes a few moments to hedge options
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
- Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case
- Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
- Editorial. Quantitative developments in financial volatility -- theory and practice
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- Variance disparity and market frictions
- Econometric analysis of financial derivatives: an overview
- Convergence of the trinomial tree method for pricing European/American options
- Index options and volatility derivatives in a Gaussian random field risk-neutral density model
- Variance swaps under the threshold Ornstein-Uhlenbeck model
- Pricing index options by static hedging under finite liquidity
- An Overview of the Determinants of Financial Volatility: An Explanation of Measuring Techniques
- Semi-robust replication of barrier-style claims on price and volatility
- The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
- Option pricing via maximization over uncertainty and correction of volatility smile
- Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method
- Robust replication of volatility and hybrid derivatives on jump diffusions
- Total positivity and relative convexity of option prices
- Risk-asymmetry indices in Europe
- Forward-looking physical tail risk: a deep learning approach
- Recent developments in volatility modeling and applications
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4226822)
