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Variance swaps on time-changed Lévy processes
14 references·12 citing·38 second hop
Variance swaps on time-changed Lévy processes (2011)Variance swaps on time-changed Lévy proce…Towards a Theory of Volatility Trading (2010)Towards a Theory of Volatilit…Variance Risk Premiums (2008)Variance Risk PremiumsTHE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (2008)THE EFFECT OF JUMPS AND DISCR…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Pricing options on realized variance (2005)Pricing options on realized v…Variance Risk Premia (2004)Variance Risk PremiaStochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…A Guide to Volatility and Variance Swaps (1999)A Guide to Volatility and Var…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…On the Decomposition of Continuous Submartingales (1965)On the Decomposition of Conti…ON CONTINUOUS MARTINGALES (1965)ON CONTINUOUS MARTINGALESA fractional Black-Scholes model with stochastic volatility and European option pricing (2021)A fractional Black-Scholes mo…Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations (2020)Efficient Simulation of Gener…Pricing variance swaps under the Hawkes jump‐diffusion process (2019)Pricing variance swaps under …Risk‐neutral moment‐based estimation of affine option pricing models (2018)Risk‐neutral moment‐based est…Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets (2016)Pricing variance and volatili…Geometric Asian option pricing in general affine stochastic volatility models with jumps (2016)Geometric Asian option pricin…Prices and Asymptotics for Discrete Variance Swaps (2013)Prices and Asymptotics for Di…Model-Free Volatility Indexes in the Financial Literature: A Review (2013)Model-Free Volatility Indexes…The Swaption Cube (2012)The Swaption CubeModel-independent hedging strategies for variance swaps (2012)Model-independent hedging str…Discretely sampled variance and volatility swaps versus their continuous approximations (2012)Discretely sampled variance a…THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE (2011)THE NORMALIZING TRANSFORMATIO…Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)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)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Brownian Motion and Stochastic Calculus (2007)The Price of Correlation Risk: Evidence from Equity Options (2009)Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Parametric and Nonparametric Volatility Measurement (2010)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A Tale of Two Indices (2006)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)On an Identity for Stochastic Integrals (1973)Processes that can be Embedded in Brownian Motion (1978)ANOVA for diffusions and Itô processes (2006)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2008Variance Risk Premiums1,328 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2010Towards a Theory of Volatility Trading561 cited
  • 1999A Guide to Volatility and Variance Swaps439 cited
  • 1965ON CONTINUOUS MARTINGALES175 cited
  • 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS172 cited
  • 2004Variance Risk Premia138 cited
  • 2005Pricing options on realized variance132 cited
  • 1965On the Decomposition of Continuous Submartingales109 cited

Cited by

  • 2013Model-Free Volatility Indexes in the Financial Literature: A Review67 cited
  • 2013Prices and Asymptotics for Discrete Variance Swaps63 cited

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  • 2012Model-independent hedging strategies for variance swaps62 cited
  • 2021A fractional Black-Scholes model with stochastic volatility and European option pricing47 cited
  • 2012The Swaption Cube42 cited
  • 2020Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations41 cited
  • 2012Discretely sampled variance and volatility swaps versus their continuous approximations41 cited
  • 2016Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets36 cited
  • 2019Pricing variance swaps under the Hawkes jump‐diffusion process35 cited
  • 2011THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE35 cited
  • 2016Geometric Asian option pricing in general affine stochastic volatility models with jumps30 cited
  • 2018Risk‐neutral moment‐based estimation of affine option pricing models27 cited