The following pages link to Moment swaps (Q3375396):
Displaying 18 items.
- The herd behavior index: a new measure for the implied degree of co-movement in stock markets (Q414600) (← links)
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
- A Monte Carlo multi-asset option pricing approximation for general stochastic processes (Q508289) (← links)
- A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573) (← links)
- New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
- Moments of the asset price for the Barndorff-Nielsen and Shephard model (Q1728116) (← links)
- Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data (Q2691639) (← links)
- A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility (Q2925697) (← links)
- PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749) (← links)
- HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET (Q3161739) (← links)
- Spectral methods for volatility derivatives (Q3182744) (← links)
- THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS (Q3643591) (← links)
- Pricing and hedging contingent claims using variance and higher order moment swaps (Q4555095) (← links)
- A moment-based analytic approximation of the risk-neutral density of American options (Q4585684) (← links)
- Realized higher-order comoments (Q4991084) (← links)
- (Q5040907) (← links)
- HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS (Q5198954) (← links)
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case (Q5962135) (← links)
