The Valuation of Volatility Options
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Recommendations
- STOCHASTIC VOLATILITY
- AN ASYMPTOTIC VALUATION FOR THE OPTION UNDER A GENERAL STOCHASTIC VOLATILITY(Special Issue on Theory, Methodology and Applications in Financial Engneering)
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- From volatility smiles to the volatility of volatility
- American options under uncertain volatility
Cited in
(44)- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
- Speculative futures trading under mean reversion
- Pure jump models for pricing and hedging VIX derivatives
- Volatility can be detrimental to option values!
- Volatility and expected option returns: a note
- Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
- Option volatility and the acceleration Lagrangian
- Pricing VXX option with default risk and positive volatility skew
- Pricing VIX options in a 3/2 plus jumps model
- Valuing options in shot noise market
- On the pricing formula for the perpetual American volatility option under the mean-reverting processes
- VIX derivatives, hedging and vol-of-vol risk
- Pricing VIX options with stochastic skew and asymmetric jumps
- Diffusion copulas: identification and estimation
- Identifying the volatility of underlying assets from option prices
- Option valuation and hedging with basis risk
- Bessel processes, stochastic volatility, and timer options
- Stochastic volatility models and the pricing of VIX options
- American Option Valuation with Particle Filters
- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
- scientific article; zbMATH DE number 6686689 (Why is no real title available?)
- Pricing VIX options with stochastic volatility and random jumps
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- On valuing and hedging European options when volatility is estimated directly
- American options under uncertain volatility
- Double-jump diffusion model for VIX: evidence from VVIX
- On American VIX options under the generalized 3/2 and 1/2 models
- On the pricing and hedging of volatility derivatives
- Liquidity risk, price impacts and the replication problem
- Valuation equations for stochastic volatility models
- Valuation of American Call Option Considering Uncertain Volatility
- VIX versus VXX: a joint analytical framework
- Properties of American volatility options in the mean-reverting 3/2 volatility model
- TARGET VOLATILITY OPTION PRICING
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
- A multifactor transformed diffusion model with applications to VIX and VIX futures
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
- Log-normal stochastic volatility model with quadratic drift
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications
- VIX options in the SABR model
- Formulas for pricing American VIX options under the generalized mixture volatility models
- An efficient control variate method for pricing variance derivatives
- Pricing formulas for American perpetual knock-out and callable volatility options
- Market-conform valuation of options.
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