Pages that link to "Item:Q5459531"
From MaRDI portal
The following pages link to Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model (Q5459531):
Displaying 25 items.
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index (Q1682600) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions (Q1934478) (← links)
- Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes (Q1945501) (← links)
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
- Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging (Q2063058) (← 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)
- A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type (Q2661851) (← links)
- Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing (Q2814674) (← links)
- Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations (Q2905725) (← links)
- Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes (Q3094135) (← links)
- PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749) (← links)
- Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
- Prices and Asymptotics for Discrete Variance Swaps (Q4585896) (← links)
- Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models (Q4976502) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- Correlators of Polynomial Processes (Q5013833) (← links)
- THE VIX AND FUTURE INFORMATION (Q5061494) (← links)
- PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS (Q5210914) (← links)
- Exact simulation of tempered stable Ornstein–Uhlenbeck processes (Q5300752) (← links)
- COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES (Q5411990) (← links)
- On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures (Q5874583) (← links)
- VIX MODELING FOR A MARKET INSIDER (Q6182054) (← links)
