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Robust Replication of Volatility Derivatives · Study

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PreprintRobust Replication of Volatility Derivatives

Peter W. Carr2008

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Preprintgreen2008

Robust Replication of Volatility Derivatives

Peter W. Carr · Roger Lee

135 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1997Empirical Performance of Alternative Option Pricing Models 1978Prices of State-Contingent Claims Implicit in Option Prices 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 2000Post-'87 crash fears in the S&P 500 futures option market 2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

Cited by

2009Realized Volatility 2007An empirical comparison of continuous-time models of implied volatility indices 2011Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios 2009The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks 2012Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case

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2004Variance Risk Premiapreprint · 15 shared references 2013Forecasting with Option-Implied Informationchapter · 13 shared references 2009Stochastic Volatilityother · 13 shared references 2009The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocksarticle · 12 shared references 2013Model-Free Volatility Indexes in the Financial Literature: A Reviewarticle · 12 shared references 2020Option-Implied Correlations and the Price of Correlation Riskpreprint · 12 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations135

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1108429

openalex_workW126763369

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2008Pricing and Hedging Volatility Derivatives

2013Forecasting with Option-Implied Information

2014Variance trading and market price of variance risk