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THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
14 references·16 citing·30 second hop
THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (2008)THE EFFECT OF JUMPS AND DISCRETE SAMPLING…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…A Tale of Two Indices (2006)A Tale of Two IndicesTheory of rational option pricing (2005)Theory of rational option pri…A theoretical comparison between integrated and realized volatility (2002)A theoretical comparison betw…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension (1999)Stochastic Volatility With an…A Guide to Volatility and Variance Swaps (1999)A Guide to Volatility and Var…Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods (1997)Pricing Stock Options in a Ju…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…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…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The term structure of equity and variance risk premia (2020)The term structure of equity …A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (2017)A general framework for discr…Bond Variance Risk Premiums (2016)Bond Variance Risk PremiumsVariance trading and market price of variance risk (2014)Variance trading and market p…Quadratic Variance Swap Models (2013)Quadratic Variance Swap ModelsPrices and Asymptotics for Discrete Variance Swaps (2013)Prices and Asymptotics for Di…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 VIXThe Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis (2012)The Term Structure of Varianc…Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2012)Pricing variance and volatili…CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (2012)CLOSED FORM PRICING FORMULAS …Variance swaps on time-changed Lévy processes (2011)Variance swaps on time-change…Options on realized variance by transform methods: a non-affine stochastic volatility model (2011)Options on realized variance …An analytical formula for VIX futures and its applications (2011)An analytical formula for VIX…A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (2011)A CONSISTENT PRICING MODEL FO…A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2008)A CLOSED‐FORM EXACT SOLUTION …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)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)Option pricing by transform methods: extensions, unification and error control (2004)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)On the Heston Model with Stochastic Interest Rates (2011)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 1999A Guide to Volatility and Variance Swaps439 cited
  • 1999Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension424 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 1997Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods389 cited
  • 2006A Tale of Two Indices381 cited
  • 2002A theoretical comparison between integrated and realized volatility281 cited

Cited by

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2008
A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
131 cited
  • 2011A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES112 cited
  • 2011Options on realized variance by transform methods: a non-affine stochastic volatility model109 cited
  • 2011An analytical formula for VIX futures and its applications107 cited
  • 2013Quadratic Variance Swap Models105 cited
  • 2012Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case102 cited
  • 2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps102 cited
  • 2016Bond Variance Risk Premiums100 cited
  • 2012The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis100 cited
  • 2014Variance trading and market price of variance risk96 cited
  • 2020The term structure of equity and variance risk premia95 cited
  • 2011Variance swaps on time-changed Lévy processes87 cited
  • 2012Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions85 cited
  • 2012CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS82 cited
  • 2012The Term Structure of VIX68 cited
  • 2013Prices and Asymptotics for Discrete Variance Swaps63 cited