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GARCH and Volatility swaps

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References

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1990ARCH models as diffusion approximations943 cited
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1988A Simple Formula to Compute the Implied Standard Deviation194 cited

Cited by

2020Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications162 cited
2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics76 cited
2005Pricing methods and hedging strategies for volatility derivatives73 cited
2004Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatilities67 cited
2017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index49 cited
2012A Proof of the Optimality of Volatility Weighting Over Time45 cited
2018Closed-form variance swap prices under general affine GARCH models and their continuous-time limits

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40 cited

2019Pricing variance swaps under the Hawkes jump‐diffusion process35 cited

2008On the Valuation of Variance Swaps with Stochastic Volatility34 cited

2023Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching33 cited