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Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatilities
16 references·5 citing·31 second hop
Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatilities (2004)Modeling of Variance and Volatility Swaps…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Towards a Theory of Volatility Trading (2010)Towards a Theory of Volatilit…Theory of rational option pricing (2005)Theory of rational option pri…A Guide to Volatility and Variance Swaps (1999)A Guide to Volatility and Var…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELPricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option (2018)Barndorff-Nielsen and Shephar…Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017)Analysis of variance based in…Option Pricing in Multivariate Stochastic Volatility Models of OU Type (2012)Option Pricing in Multivariat…New solvable stochastic volatility models for pricing volatility derivatives (2012)New solvable stochastic volat…Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets (2007)Pricing Options and Variance …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Monte Carlo methods for security pricing (1997)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Measuring and Testing the Impact of News on Volatility (1993)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 2010Towards a Theory of Volatility Trading561 cited

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  • 1999A Guide to Volatility and Variance Swaps439 cited
  • Cited by

    • 2012Option Pricing in Multivariate Stochastic Volatility Models of OU Type64 cited
    • 2017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index49 cited
    • 2012New solvable stochastic volatility models for pricing volatility derivatives33 cited
    • 2007Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets30 cited
    • 2018Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option24 cited