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Model-independent hedging strategies for variance swaps
15 references·8 citing·42 second hop
Model-independent hedging strategies for variance swaps (2012)Model-independent hedging strategies for …Variance trading and market price of variance risk (2014)Variance trading and market p…Root’s barrier: Construction, optimality and applications to variance options (2013)Root’s barrier: Construction,…Realized Skewness (2012)Realized SkewnessVariance swaps on time-changed Lévy processes (2011)Variance swaps on time-change…Simple Variance Swaps (2011)Simple Variance SwapsThe Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)The Skorokhod Embedding Probl…THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (2008)THE EFFECT OF JUMPS AND DISCR…A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2008)A CLOSED‐FORM EXACT SOLUTION …THE RANGE OF TRADED OPTION PRICES (2006)THE RANGE OF TRADED OPTION PR…Robust Hedging of Barrier Options (2001)Robust Hedging of Barrier Opt…A Guide to Volatility and Variance Swaps (1999)A Guide to Volatility and Var…Robust hedging of the lookback option (1998)Robust hedging of the lookbac…Dynamic spanning without probabilities (1994)Dynamic spanning without prob…Calcul d'ito sans probabilites (1981)Calcul d'ito sans probabilitesPrices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Pathwise superreplication via Vovk’s outer measure (2017)Pathwise superreplication via…Monotone martingale transport plans and Skorokhod embedding (2017)Monotone martingale transport…Tightness and duality of martingale transport on the Skorokhod space (2016)Tightness and duality of mart…An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint (2016)An explicit martingale versio…Pathwise versions of the Burkholder–Davis–Gundy inequality (2015)Pathwise versions of the Burk…Martingale optimal transport in the Skorokhod space (2015)Martingale optimal transport …An Explicit Martingale Version of Brenier's Theorem (2013)An Explicit Martingale Versio…A trajectorial interpretation of Doob’s martingale inequalities (2013)A trajectorial interpretation…Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Un Cours sur les Intégrales Stochastiques (2002)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Functional Itô calculus and stochastic integral representation of martingales (2013)Continuous Martingales and Brownian Motion (1999)Stochastic Finance: An Introduction in Discrete Time (2002)A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (2013)Martingale optimal transport and robust hedging in continuous time (2013)Optimal transportation under controlled stochastic dynamics (2013)Theory of Value (1959)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)Options and Efficiency (1976)The valuation of options for alternative stochastic processes (1976)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Coherent risk measures and good-deal bounds (2001)ROBUST BOUNDS FOR FORWARD START OPTIONS (2010)Options, Futures, and Other Derivative Securities. 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this work references cited by second hop

References

  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1999A Guide to Volatility and Variance Swaps439 cited
  • 1998Robust hedging of the lookback option279 cited
  • 1981Calcul d'ito sans probabilites247 cited
  • 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices224 cited
  • 2012Realized Skewness214 cited
  • 2006THE RANGE OF TRADED OPTION PRICES205 cited
  • 2001Robust Hedging of Barrier Options177 cited
  • 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS172 cited
  • 2008A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY131 cited
  • 2014Variance trading and market price of variance risk96 cited
  • 2013Root’s barrier: Construction, optimality and applications to variance options89 cited
  • 2011Variance swaps on time-changed Lévy processes87 cited
  • 2011Simple Variance Swaps87 cited
  • 1994Dynamic spanning without probabilities74 cited

Cited by

  • 2015Martingale optimal transport in the Skorokhod space

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53 cited
  • 2013A trajectorial interpretation of Doob’s martingale inequalities52 cited
  • 2015Pathwise versions of the Burkholder–Davis–Gundy inequality39 cited
  • 2016An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint37 cited
  • 2017Monotone martingale transport plans and Skorokhod embedding33 cited
  • 2017Pathwise superreplication via Vovk’s outer measure32 cited
  • 2016Tightness and duality of martingale transport on the Skorokhod space31 cited
  • 2013An Explicit Martingale Version of Brenier's Theorem30 cited