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An efficient control variate method for pricing variance derivatives
16 references·1 citing·32 second hop
An efficient control variate method for pricing variance derivatives (2010)An efficient control variate method for p…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Pricing and Hedging Volatility Derivatives (2008)Pricing and Hedging Volatilit…Pricing options on realized variance (2005)Pricing options on realized v…GARCH and Volatility swaps (2004)GARCH and Volatility swapsOptions, Futures and Other Derivatives (2003)Options, Futures and Other De…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS (2001)WEIGHTED MONTE CARLO: A NEW T…Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models (2000)Weighted Monte Carlo: A New T…The Valuation of Volatility Options (2000)The Valuation of Volatility O…A Guide to Volatility and Variance Swaps (1999)A Guide to Volatility and Var…Stochastic Volatility Option Pricing (1994)Stochastic Volatility Option …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…A pricing method for options based on average asset values (1990)A pricing method for options …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Sub mixed fractional Brownian motion and its application to finance (2024)Sub mixed fractional Brownian…A Theory of the Term Structure of Interest Rates (1985)Probability distribution of returns in the Heston model with stochastic volatility* (2002)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)The Local Volatility Surface: Unlocking the Information in Index Option Prices (1996)Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility (1998)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Variance Risk Premiums (2008)Expected Stock Returns and Variance Risk Premia (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The value of an Asian option (1995)Monte Carlo methods for security pricing (1997)Theory of rational option pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)The arbitrage theory of capital asset pricing (1976)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)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)Measuring and Testing the Impact of News on Volatility (1993)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1999A Guide to Volatility and Variance Swaps439 cited
  • 1994Stochastic Volatility Option Pricing306 cited
  • 2005Pricing options on realized variance132 cited
  • 2000The Valuation of Volatility Options124 cited
  • 2008Pricing and Hedging Volatility Derivatives98 cited
  • 2000Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models84 cited
  • 2001WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS80 cited

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2004
GARCH and Volatility swaps
77 cited

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  • 2024Sub mixed fractional Brownian motion and its application to finance17 cited