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ArticleConsistent Variance Curve Models

Hans Buehler2006

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Articlegreen2006

Consistent Variance Curve Models

114 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1998Methods of Mathematical Finance 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)2000Derivatives in Financial Markets with Stochastic Volatility

Cited by

2011A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES 2013Quadratic Variance Swap Models 2012STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS 2012The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis 2007TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS 2008

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2006Volatility Markets: Consistent Modeling, Hedging and Practical Implementationthesis · 11 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 6 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 6 shared references 2012Modeling the Forward Surface of Mortalityarticle · 6 shared references 2009The Term Structure of Interest Ratesreview · 6 shared references 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivativesbook · 5 shared references

Details

Year2006

Typearticle

Published2006-04-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations114

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-006-0008-2

openalex_workW2098038575

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Consistent Modeling of SPX and VIX options

2014Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model

2017Regime-switching stochastic volatility model: estimation and calibration to VIX options