Pages that link to "Item:Q4672757"

The following pages link to On the pricing and hedging of volatility derivatives (Q4672757):

Displaying 47 items.

• Variance-optimal hedging for target volatility options (Q380555) (← links)
• Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
• Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
• Pricing forward-start variance swaps with stochastic volatility (Q902796) (← links)
• Pricing of derivatives on mean-reverting assets (Q1040902) (← links)
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
• Root's barrier: construction, optimality and applications to variance options (Q1950255) (← links)
• Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
• Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
• Variance and volatility swaps valuations with the stochastic liquidity risk (Q2068493) (← links)
• Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching (Q2164576) (← links)
• A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
• On the valuation of variance swaps with stochastic volatility (Q2250184) (← links)
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
• A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
• Analytically pricing volatility swaps under stochastic volatility (Q2351082) (← links)
• Matched asymptotic expansions in financial engineering (Q2501093) (← links)
• Exact pricing with stochastic volatility and jumps (Q2786345) (← links)
• Stochastic volatility models and the pricing of VIX options (Q2847239) (← links)
• Swap rate variance swaps (Q2893208) (← links)
• A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility (Q2925697) (← links)
• A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps (Q3004475) (← links)
• ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY (Q3067767) (← links)
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (Q3084598) (← links)
• Spectral methods for volatility derivatives (Q3182744) (← links)
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (Q3444867) (← links)
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (Q3445890) (← links)
• ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS (Q3502980) (← links)
• UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS (Q3523582) (← links)
• Inference in Lévy-type stochastic volatility models (Q3590750) (← links)
• THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS (Q3643591) (← links)
• Prices and Asymptotics for Discrete Variance Swaps (Q4585896) (← links)
• On the pricing and hedging of volatility derivatives (Q4672757) (← links)
• (Q4792529) (← links)
• PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS (Q4916242) (← links)
• (Q4979950) (← links)
• Uncertain volatility and the risk-free synthesis of derivatives (Q4994401) (← links)
• Pricing under rough volatility (Q5001177) (← links)
• Pricing double volatility barriers option under stochastic volatility (Q5086643) (← links)
• A regime-switching Heston model for VIX and S&P 500 implied volatilities (Q5247236) (← links)
• VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (Q5384677) (← links)
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411) (← links)
• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE (Q5411986) (← links)
• COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES (Q5411990) (← links)
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model (Q5459531) (← links)
• VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (Q5890133) (← links)