Valuation of volatility derivatives as an inverse problem

DOI10.1080/14697680500362452zbMath1134.91417OpenAlexW2139274440MaRDI QIDQ3375397

Jim Gatheral, Peter K. Friz

Publication date: 8 March 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500362452

Mathematics Subject Classification ID

Related Items (19)

Spectral methods for volatility derivatives ⋮ Pricing and hedging contingent claims using variance and higher order moment swaps ⋮ Arithmetic variance swaps ⋮ Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options ⋮ Analysis of VIX Markets with a Time-Spread Portfolio ⋮ Implied Filtering Densities on the Hidden State of Stochastic Volatility ⋮ On Carr and Lee’s Correlation Immunization Strategy ⋮ Numerical solution of two asset jump diffusion models for option valuation ⋮ TARGET VOLATILITY OPTION PRICING ⋮ Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach ⋮ Options on realized variance by transform methods: a non-affine stochastic volatility model ⋮ EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS ⋮ Implied integrated variance and hedging ⋮ Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case ⋮ On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility ⋮ Optimal investment with derivatives and pricing in an incomplete market ⋮ Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models ⋮ PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS ⋮ Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates

Cites Work

• A Theory of the Term Structure of Interest Rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: Valuation of volatility derivatives as an inverse problem