Pages that link to "Item:Q3100749"
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The following pages link to PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749):
Displayed 21 items.
- Pricing VIX options with stochastic volatility and random jumps (Q354668) (← links)
- Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
- Asymptotic and exact pricing of options on variance (Q1936829) (← links)
- Root's barrier: construction, optimality and applications to variance options (Q1950255) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922) (← links)
- BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS (Q2788692) (← links)
- RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES (Q2800053) (← links)
- Orthogonal expansions for VIX options under affine jump diffusions (Q4554474) (← links)
- Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
- Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (Q4585899) (← links)
- Pricing options on discrete realized variance with partially exact and bounded approximations (Q4683116) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes (Q4997193) (← links)
- An efficient exponential twisting importance sampling technique for pricing financial derivatives (Q5022767) (← links)
- PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS (Q5210914) (← links)
- Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters (Q6049522) (← links)
- The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
- CBI-time-changed Lévy processes (Q6116556) (← links)