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PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
16 references·5 citing·31 second hop
PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (2010)PRICING OPTIONS ON VARIANCE IN AFFINE STO…THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (2008)THE EFFECT OF JUMPS AND DISCR…Robust Replication of Volatility Derivatives (2008)Robust Replication of Volatil…Pricing options on realized variance in the Heston model with jumps in returns and volatility (2008)Pricing options on realized v…A Didactic Note on Affine Stochastic Volatility Models (2006)A Didactic Note on Affine Sto…Pricing options on realized variance (2005)Pricing options on realized v…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Option Pricing in Stochastic …Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Affine processes and applications in finance (2003)Affine processes and applicat…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Lévy Processes in Finance: Th…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…The Alpha‐Heston stochastic volatility model (2021)The Alpha‐Heston stochastic v…A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process (2019)A Gamma Ornstein-Uhlenbeck Mo…Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (2018)Closed-form variance swap pri…Geometric Asian option pricing in general affine stochastic volatility models with jumps (2016)Geometric Asian option pricin…BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS (2013)BESSEL PROCESSES, STOCHASTIC …The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Finite Moment Log Stable Process and Option Pricing (2003)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The Pricing of Options on Assets with Stochastic Volatilities (1987)Realized power variation and stochastic volatility models (2003)Analysis of Fourier Transform Valuation Formulas and Applications (2010)Asymptotic analysis for stochastic volatility: martingale expansion (2010)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)The Impact of Jumps in Volatility and Returns (2003)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Microstructure noise in the continuous case: The pre-averaging approach (2008)
this work references cited by second hop

References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type257 cited
  • 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited
  • 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS172 cited
  • 2008Pricing options on realized variance in the Heston model with jumps in returns and volatility149 cited
  • 2008Robust Replication of Volatility Derivatives135 cited
  • 2005Pricing options on realized variance132 cited

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2006
A Didactic Note on Affine Stochastic Volatility Models
92 cited

Cited by

  • 2018Closed-form variance swap prices under general affine GARCH models and their continuous-time limits40 cited
  • 2021The Alpha‐Heston stochastic volatility model35 cited
  • 2019A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process32 cited
  • 2016Geometric Asian option pricing in general affine stochastic volatility models with jumps30 cited
  • 2013BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS27 cited