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Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets
16 references·0 citing·41 second hop
Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets (2016)Pricing variance and volatility swaps for…ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (2013)ARBITRAGE BOUNDS FOR PRICES O…Variance swaps on time-changed Lévy processes (2011)Variance swaps on time-change…THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (2008)THE EFFECT OF JUMPS AND DISCR…Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type (2008)Maximum likelihood estimation…A new approach for option pricing under stochastic volatility (2007)A new approach for option pri…Tempering stable processes (2006)Tempering stable processesOption Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Option Pricing in Stochastic …Lévy Processes in Finance (2003)Lévy Processes in FinanceIntegrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (2003)Integrated OU Processes and N…Non-Gaussian Merton-Black-Scholes Theory (2002)Non-Gaussian Merton-Black-Sch…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Modelling by Lévy Processess for Financial Econometrics (2001)Modelling by Lévy Processess …OPTION PRICING FOR TRUNCATED LÉVY PROCESSES (2000)OPTION PRICING FOR TRUNCATED …The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Some stationary processes in discrete and continuous time (1998)Some stationary processes in …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Econometrics of Financial Markets (1997)On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process (2004)Long range dependence in financial markets (2005)Affine processes on positive semidefinite matrices (2011)The Econometrics of Financial Markets (2012)Option Pricing and Replication with Transactions Costs (1985)Processes of normal inverse Gaussian type (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Optimal stopping and perpetual options for Lévy processes (2002)Perpetual American Options Under Lévy Processes (2002)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Optimum consumption and portfolio rules in a continuous-time model (1971)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)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The Pricing of Options and Corporate Liabilities (1973)Realized power variation and stochastic volatility models (2003)Analysis of Fourier Transform Valuation Formulas and Applications (2010)Asymptotic analysis for stochastic volatility: martingale expansion (2010)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)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)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)
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References

  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2003Lévy Processes in Finance793 cited
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  • 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES284 cited
  • 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type257 cited
  • 2002Non-Gaussian Merton-Black-Scholes Theory216 cited
  • 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS172 cited
  • 2001Modelling by Lévy Processess for Financial Econometrics152 cited
  • 2007A new approach for option pricing under stochastic volatility151 cited
  • 2003Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models125 cited
  • 1998Some stationary processes in discrete and continuous time114 cited
  • 2011Variance swaps on time-changed Lévy processes87 cited
  • 2013ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS73 cited
  • 2008

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Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
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