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Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
16 references·3 citing·34 second hop
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (2009)Robust Approximations for Pricing Asian O…SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009)SMALL-TIME ASYMPTOTICS FOR IM…Robust Replication of Volatility Derivatives (2008)Robust Replication of Volatil…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)Asian Options, the Sum of Log…The value of an Asian option (1995)The value of an Asian optionBESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Pricing European average rate currency options (1992)Pricing European average rate…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity (2025)A Closed‐Form Formula for Pri…A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching (2022)A closed-form pricing formula…Pricing average options under time-changed Lévy processes (2013)Pricing average options under…Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1995The value of an Asian option532 cited
  • 2006Moment explosions in stochastic volatility models403 cited
  • 1992Pricing European average rate currency options331 cited
  • 1998Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution264 cited
  • 2008Robust Replication of Volatility Derivatives135 cited
  • 2009SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL

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  • 2025A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity24 cited
  • 2013Pricing average options under time-changed Lévy processes24 cited
  • 2022A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching21 cited