Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
- Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
- Change of time methods in quantitative finance
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- GARCH and volatility swaps
- Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
- scientific article; zbMATH DE number 1897411 (Why is no real title available?)
- Incompleteness of markets driven by a mixed diffusion
- Modeling and pricing of swaps for financial and energy markets with stochastic volatilities
- Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay
- Multiscale Stochastic Volatility Asymptotics
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
- Stochastic calculus for finance. II: Continuous-time models.
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(13)- On volatility swaps for stock market forecast: application example CAC 40 French Index
- Pricing of variance swap rates and investment decisions of variance swaps: evidence from a three-factor model
- Heston model: the variance swap calibration
- Variance swaps under multiscale stochastic volatility of volatility
- Modeling and pricing of swaps for financial and energy markets with stochastic volatilities
- Multi-asset stochastic local variance contracts
- Hedging (co)variance risk with variance swaps
- Variance swap with mean reversion, multifactor stochastic volatility and jumps
- Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
- Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay
- VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL
- On the pricing of capped volatility swaps using machine learning techniques
- Model-independent hedging strategies for variance swaps
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