Pages that link to "Item:Q2927954"
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The following pages link to CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (Q2927954):
Displayed 30 items.
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- A closed-form expansion approach for pricing discretely monitored variance swaps (Q1785402) (← links)
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (Q1785445) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- Pricing generalized variance swaps under the Heston model with stochastic interest rates (Q1997863) (← links)
- Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← links)
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
- Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← links)
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
- Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance (Q2167364) (← links)
- A closed-form formula for pricing variance swaps on commodities (Q2360087) (← links)
- Catastrophe equity put options with target variance (Q2374098) (← links)
- Asymptotic expansion formula of option price under multifactor Heston model (Q2398581) (← links)
- Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
- Variance swaps under multiscale stochastic volatility of volatility (Q2671216) (← links)
- Valuation of European crude oil options with co-jump diffusions and stochastic interest rate (Q2698596) (← links)
- MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS (Q2831008) (← links)
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
- Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (Q4585899) (← links)
- Variance swaps under the threshold Ornstein–Uhlenbeck model (Q4624950) (← links)
- Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models (Q4682488) (← links)
- Pricing options on discrete realized variance with partially exact and bounded approximations (Q4683116) (← links)
- Pricing Variance Swaps on Time-Changed Markov Processes (Q4999901) (← links)
- (Q5040907) (← links)
- MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS (Q5148008) (← links)
- A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL (Q5369443) (← links)
- AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS (Q5370813) (← links)
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
- CBI-time-changed Lévy processes (Q6116556) (← links)