The following pages link to GARCH and volatility swaps (Q4610268):
Displayed 14 items.
- A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
- Pricing forward-start variance swaps with stochastic volatility (Q902796) (← links)
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index (Q1682600) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- Pricing variance swaps under hybrid CEV and stochastic volatility (Q2222171) (← 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)
- Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model (Q4986444) (← links)
- Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? (Q4987090) (← links)
- Pricing double volatility barriers option under stochastic volatility (Q5086643) (← links)
- AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS (Q5370813) (← links)
- VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (Q5384677) (← links)
- On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures (Q5874583) (← links)
- S&P 500 volatility, volatility regimes, and economic uncertainty (Q6066273) (← links)