Pages that link to "Item:Q3621561"
From MaRDI portal
The following pages link to THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (Q3621561):
Displaying 50 items.
- Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process (Q256762) (← links)
- Variance trading and market price of variance risk (Q469575) (← links)
- A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
- Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
- Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← links)
- Model-independent hedging strategies for variance swaps (Q693029) (← links)
- A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573) (← links)
- Pricing forward-start variance swaps with stochastic volatility (Q902796) (← links)
- On volatility swaps for stock market forecast: application example CAC 40 French Index (Q1667389) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- Variance swaps on time-changed Lévy processes (Q1761447) (← links)
- A closed-form expansion approach for pricing discretely monitored variance swaps (Q1785402) (← links)
- Asymptotic and exact pricing of options on variance (Q1936829) (← links)
- Discretely sampled variance and volatility swaps versus their continuous approximations (Q1945043) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119) (← links)
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534) (← links)
- Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← links)
- A general property for time aggregation (Q2030709) (← links)
- Variance and volatility swaps valuations with the stochastic liquidity risk (Q2068493) (← links)
- Model risk in the over-the-counter market (Q2076856) (← links)
- 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 (Q2088813) (← links)
- Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index (Q2096157) (← links)
- Quantum systems for Monte Carlo methods and applications to fractional stochastic processes (Q2163670) (← links)
- Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance (Q2167364) (← links)
- Quadratic variation, models, applications and lessons (Q2170296) (← links)
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
- Pricing variance swaps under hybrid CEV and stochastic volatility (Q2222171) (← links)
- The term structure of equity and variance risk premia (Q2224879) (← links)
- A path-independent approach to integrated variance under the CEV model (Q2228592) (← links)
- On the valuation of variance swaps with stochastic volatility (Q2250184) (← links)
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922) (← links)
- A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
- Analytically pricing volatility swaps under stochastic volatility (Q2351082) (← links)
- Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) (← links)
- Variance swaps under multiscale stochastic volatility of volatility (Q2671216) (← links)
- EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS (Q2786345) (← links)
- RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES (Q2800053) (← links)
- MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS (Q2831008) (← links)
- An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs (Q2873539) (← links)
- The identification of price jumps (Q2882552) (← links)
- A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY (Q2925697) (← links)
- CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (Q2927954) (← links)
- A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL (Q2929384) (← links)
- A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (Q3084598) (← links)
- PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749) (← links)
- Pricing and hedging contingent claims using variance and higher order moment swaps (Q4555095) (← links)
- Arithmetic variance swaps (Q4555097) (← links)
- INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL (Q4571695) (← links)
