Pages that link to "Item:Q2250184"

The following pages link to On the valuation of variance swaps with stochastic volatility (Q2250184):

Displaying 33 items.

• Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process (Q256762) (← links)
• Variation and share-weighted variation swaps on time-changed Lévy processes (Q377448) (← links)
• A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
• Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← 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)
• Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model (Q1030860) (← links)
• Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344) (← links)
• A closed-form expansion approach for pricing discretely monitored variance swaps (Q1785402) (← links)
• Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
• Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← links)
• Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← links)
• Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields (Q2056999) (← links)
• Pricing variance swaps under hybrid CEV and stochastic volatility (Q2222171) (← links)
• A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
• Variance swaps under multiscale stochastic volatility of volatility (Q2671216) (← links)
• Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes (Q2800053) (← links)
• Pricing variance swaps with stochastic volatility under jump-diffusion (Q2876063) (← links)
• A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility (Q2925697) (← 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)
• Volatility Investing with Variance Swaps (Q3112458) (← links)
• (Q3385796) (← links)
• Static Replication of Forward-Start Claims and Realized Variance Swaps (Q3565101) (← links)
• Arithmetic variance swaps (Q4555097) (← links)
• GARCH and volatility swaps (Q4610268) (← links)
• (Q5040907) (← links)
• PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE (Q5051186) (← links)
• A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL (Q5369443) (← links)
• AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS (Q5370813) (← links)
• COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES (Q5411990) (← links)
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case (Q5962135) (← links)