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The new market for volatility trading
14 references·16 citing·34 second hop
The new market for volatility trading (2010)The new market for volatility tradingThe Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010)The Term Structure of Varianc…Variance Risk Premiums (2008)Variance Risk PremiumsPricing options on realized variance in the Heston model with jumps in returns and volatility (2008)Pricing options on realized v…Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures (2007)Pricing VIX futures: Evidence…An empirical comparison of continuous-time models of implied volatility indices (2007)An empirical comparison of co…VIX futures (2006)VIX futuresA Tale of Two Indices (2006)A Tale of Two IndicesTheory of rational option pricing (2005)Theory of rational option pri…The forecast quality of CBOE implied volatility indexes (2005)The forecast quality of CBOE …A Guide to Volatility and Variance Swaps (1999)A Guide to Volatility and Var…Valuing futures and options on volatility (1996)Valuing futures and options o…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective (2020)VIX forecasting based on GARC…VIX term structure and VIX futures pricing with realized volatility (2018)VIX term structure and VIX fu…Smiling twice: The Heston++ model (2018)Smiling twice: The Heston++ m…Volatility risk and stock return predictability on global financial crises (2017)Volatility risk and stock ret…Determinants of price discovery in the VIX futures market (2017)Determinants of price discove…Tail Wags Dog: Intraday Price Discovery in VIX Markets (2016)Tail Wags Dog: Intraday Price…Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model (2016)Pricing the CBOE VIX Futures …VIX forecasting and variance risk premium: A new GARCH approach (2015)VIX forecasting and variance …Trading and Investing in Volatility Products (2015)Trading and Investing in Vola…The VIX Futures Basis: Evidence and Trading Strategies (2014)The VIX Futures Basis: Eviden…Model-Free Volatility Indexes in the Financial Literature: A Review (2013)Model-Free Volatility Indexes…Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions (2012)Volatility dynamics for the S…The Term Structure of VIX (2012)The Term Structure of VIXPricing VIX options with stochastic volatility and random jumps (2011)Pricing VIX options with stoc…Causality in the VIX futures market (2011)Causality in the VIX futures …An analytical formula for VIX futures and its applications (2011)An analytical formula for VIX…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options and Corporate Liabilities (1973)The Price of a Smile: Hedging and Spanning in Option Markets (2001)Options and Bubbles (2006)Valuation of VIX derivatives (2012)Optimum consumption and portfolio rules in a continuous-time model (1971)The Skew Risk Premium in the Equity Index Market (2013)The price of variance risk (2016)Uncertainty Shocks as Second-Moment News Shocks (2019)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Momentum crashes (2016)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)The connectedness between crude oil and financial markets: Evidence from implied volatility indices (2016)Efficient predictability of stock return volatility: The role of stock market implied volatility (2020)The Pricing of Options on Assets with Stochastic Volatilities (1987)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Investor sentiment and the price of oil (2017)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)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)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 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
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2008Variance Risk Premiums1,328 cited
  • 1999A Guide to Volatility and Variance Swaps439 cited
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  • 2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments238 cited
  • 1996Valuing futures and options on volatility225 cited
  • 2005The forecast quality of CBOE implied volatility indexes191 cited
  • 2006VIX futures168 cited
  • 2008Pricing options on realized variance in the Heston model with jumps in returns and volatility149 cited
  • 2007An empirical comparison of continuous-time models of implied volatility indices115 cited
  • 2007Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures114 cited

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  • 2011An analytical formula for VIX futures and its applications107 cited

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  • 2011Causality in the VIX futures market99 cited
  • 2012Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions85 cited
  • 2012The Term Structure of VIX68 cited
  • 2013Model-Free Volatility Indexes in the Financial Literature: A Review67 cited
  • 2011Pricing VIX options with stochastic volatility and random jumps64 cited
  • 2017Determinants of price discovery in the VIX futures market57 cited
  • 2016Tail Wags Dog: Intraday Price Discovery in VIX Markets54 cited
  • 2016Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model54 cited
  • 2018Smiling twice: The Heston++ model47 cited
  • 2018VIX term structure and VIX futures pricing with realized volatility44 cited
  • 2020VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective38 cited
  • 2017Volatility risk and stock return predictability on global financial crises36 cited
  • 2015Trading and Investing in Volatility Products34 cited
  • 2014The VIX Futures Basis: Evidence and Trading Strategies32 cited
  • 2015VIX forecasting and variance risk premium: A new GARCH approach30 cited