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Pricing and Hedging Volatility Derivatives
16 references·6 citing·37 second hop
Pricing and Hedging Volatility Derivatives (2008)Pricing and Hedging Volatility DerivativesRobust Replication of Volatility Derivatives (2008)Robust Replication of Volatil…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…An example of indifference prices under exponential preferences (2004)An example of indifference pr…VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Utility maximization in incomplete markets with random endowment (2001)Utility maximization in incom…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …STATIC HEDGING OF EXOTIC OPTIONS (1999)STATIC HEDGING OF EXOTIC OPTI…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (1999)Dynamic Consumption and Portf…A Parametric Nonlinear Model of Term Structure Dynamics (1999)A Parametric Nonlinear Model …A Guide to Volatility and Variance Swaps (1999)A Guide to Volatility and Var…Static Hedging of Exotic Options (1998)Static Hedging of Exotic Opti…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Root’s barrier: Construction, optimality and applications to variance options (2013)Root’s barrier: Construction,…Prices and Asymptotics for Discrete Variance Swaps (2013)Prices and Asymptotics for Di…Discretely sampled variance and volatility swaps versus their continuous approximations (2012)Discretely sampled variance a…Spot and forward volatility in foreign exchange (2011)Spot and forward volatility i…A Consistent Pricing Model for Index Options and Volatility Derivatives (2010)A Consistent Pricing Model fo…On the Valuation of Variance Swaps with Stochastic Volatility (2008)On the Valuation of Variance …Risk, Return, and Equilibrium: Empirical Tests (1973)A Theory of the Term Structure of Interest Rates (1985)Continuous Martingales and Brownian Motion (1999)The surprise element: jumps in interest rates (2002)A Monte Carlo Method for Optimal Portfolios (2003)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)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)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Cross‐Section of Volatility and Expected Returns (2006)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The cumulant process and Esscher's change of measure (2002)Inf-convolution of risk measures and optimal risk transfer (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)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)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)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)Estimation of affine asset pricing models using the empirical characteristic function (2001)A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 1999A Guide to Volatility and Variance Swaps439 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 1999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets363 cited
  • 1999A Parametric Nonlinear Model of Term Structure Dynamics335 cited
  • 1998Static Hedging of Exotic Options286 cited
  • 2004An example of indifference prices under exponential preferences266 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 2001Utility maximization in incomplete markets with random endowment229 cited
  • 1999STATIC HEDGING OF EXOTIC OPTIONS181 cited

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  • 2008Robust Replication of Volatility Derivatives135 cited
  • Cited by

    • 2013Root’s barrier: Construction, optimality and applications to variance options89 cited
    • 2011Spot and forward volatility in foreign exchange84 cited
    • 2013Prices and Asymptotics for Discrete Variance Swaps63 cited
    • 2010A Consistent Pricing Model for Index Options and Volatility Derivatives48 cited
    • 2012Discretely sampled variance and volatility swaps versus their continuous approximations41 cited
    • 2008On the Valuation of Variance Swaps with Stochastic Volatility34 cited