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Discretely sampled variance and volatility swaps versus their continuous approximations
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Discretely sampled variance and volatility swaps versus their continuous approximations (2012)Discretely sampled variance and volatilit…Variance swaps on time-changed Lévy processes (2011)Variance swaps on time-change…ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)ASSET PRICE BUBBLES IN INCOMP…Volatility Derivatives (2009)Volatility DerivativesTHE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (2008)THE EFFECT OF JUMPS AND DISCR…Pricing and Hedging Volatility Derivatives (2008)Pricing and Hedging Volatilit…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…A new approach for option pricing under stochastic volatility (2007)A new approach for option pri…Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…Local martingales, bubbles and option prices (2005)Local martingales, bubbles an…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…The integrated square-root process (2001)The integrated square-root pr…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Complications with stochastic volatility models (1998)Complications with stochastic…Couverture des actifs contingents et prix maximum (1994)Couverture des actifs conting…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…DIFFUSIONS, MARKOV PROCESSES AND MARTINGALES: Volume 2: Itô Calculus (1989)DIFFUSIONS, MARKOV PROCESSES …Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (2018)Closed-form variance swap pri…Prices of State-Contingent Claims Implicit in Option Prices (1978)Martingales and stochastic integrals in the theory of continuous trading (1981)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)Arbitrage-free SVI volatility surfaces (2013)The Pricing of Options and Corporate Liabilities (1973)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Martingales and arbitrage in multiperiod securities markets (1979)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2008)A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (2011)Options on realized variance by transform methods: a non-affine stochastic volatility model (2011)Noise Trader Risk in Financial Markets (1990)On the martingale property of certain local martingales (2010)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Is Bitcoin a bubble? (2018)A Theory of the Term Structure of Interest Rates (1985)Efficient Simulation of the Heston Stochastic Volatility Model (2006)A comparison of biased simulation schemes for stochastic volatility models (2009)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)An analytical formula for VIX futures and its applications (2011)Excess Volatility: Beyond Discount Rates* (2017)The VIX Premium (2018)Convergence from Discrete- to Continuous-Time Contingent Claims Prices (1990)Non-Gaussian OU based models and some of their uses in financial economics (2000)Stochastic Volatility: Origins and Overview (2009)Arbitrage Theory in Continuous Time (1998)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)
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  • 2018Closed-form variance swap prices under general affine GARCH models and their continuous-time limits40 cited