Pages that link to "Item:Q2707034"
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The following pages link to The Valuation of Volatility Options (Q2707034):
Displaying 39 items.
- Pricing VIX options with stochastic volatility and random jumps (Q354668) (← links)
- On valuing and hedging European options when volatility is estimated directly (Q439467) (← links)
- Liquidity risk, price impacts and the replication problem (Q483927) (← links)
- An efficient control variate method for pricing variance derivatives (Q711233) (← links)
- Market-conform valuation of options. (Q819979) (← links)
- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo (Q1626511) (← links)
- Speculative futures trading under mean reversion (Q1627723) (← links)
- Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
- Volatility can be detrimental to option values! (Q1668616) (← links)
- Volatility and expected option returns: a note (Q1672838) (← links)
- Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing (Q1726996) (← links)
- Option volatility and the acceleration Lagrangian (Q1782476) (← links)
- Pricing VXX option with default risk and positive volatility skew (Q1927010) (← links)
- Pricing VIX options in a 3/2 plus jumps model (Q1989867) (← links)
- Valuing options in shot noise market (Q2149143) (← links)
- On the pricing formula for the perpetual American volatility option under the mean-reverting processes (Q2233615) (← links)
- VIX derivatives, hedging and vol-of-vol risk (Q2286994) (← links)
- Pricing VIX options with stochastic skew and asymmetric jumps (Q2307815) (← links)
- Diffusion copulas: identification and estimation (Q2658762) (← links)
- Identifying the volatility of underlying assets from option prices (Q2709875) (← links)
- Option valuation and hedging with basis risk (Q2722587) (← links)
- Bessel processes, stochastic volatility, and timer options (Q2788692) (← links)
- Stochastic volatility models and the pricing of VIX options (Q2847239) (← links)
- American Option Valuation with Particle Filters (Q2917425) (← links)
- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion (Q2931944) (← links)
- (Q2960761) (← links)
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (Q3621561) (← links)
- Double-jump diffusion model for VIX: evidence from VVIX (Q4555075) (← links)
- On American VIX options under the generalized 3/2 and 1/2 models (Q4642732) (← links)
- On the pricing and hedging of volatility derivatives (Q4672757) (← links)
- Valuation of American Call Option Considering Uncertain Volatility (Q4919262) (← links)
- VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK (Q5147999) (← links)
- Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model (Q5250037) (← links)
- TARGET VOLATILITY OPTION PRICING (Q5389102) (← links)
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model (Q5459531) (← links)
- A multifactor transformed diffusion model with applications to VIX and VIX futures (Q5860975) (← links)
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (Q5964763) (← links)
- Log-normal stochastic volatility model with quadratic drift (Q6492032) (← links)
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications (Q6578150) (← links)
