Pages that link to "Item:Q1991924"
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The following pages link to Volatility swaps and volatility options on discretely sampled realized variance (Q1991924):
Displaying 12 items.
- A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
- A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- Discretely sampled variance and volatility swaps versus their continuous approximations (Q1945043) (← links)
- Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← 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)
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922) (← links)
- Analytically pricing volatility swaps under stochastic volatility (Q2351082) (← links)
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes (Q2800053) (← links)
- Closed form pricing formulas for discretely sampled generalized variance swaps (Q2927954) (← links)
- Static Replication of Forward-Start Claims and Realized Variance Swaps (Q3565101) (← links)
- AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS (Q5370813) (← links)
