Variance swap dynamics

DOI10.1080/14697688.2012.749420zbMath1281.91159OpenAlexW2063969785MaRDI QIDQ5397410

Kai Detlefsen, Wolfgang Karl Härdle

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.749420

zbMATH Keywords

term structureequitiesempirical financevolatility modelling

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A semiparametric factor model for CDO surfaces dynamics

Cites Work

• Consistent variance curve models
• Semiparametric modeling of implied volatility.
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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