SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Analytically pricing volatility swaps under stochastic volatility · Study

ArticleShelves

ArticleAnalytically pricing volatility swaps under stochastic volatility

Song‐Ping Zhu2015

OA

Articlebronze2015

Analytically pricing volatility swaps under stochastic volatility

Song‐Ping Zhu · Guanghua Lian

22 citations·0/0 files stored·Journal of Computational and Applied Mathematics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 22 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 2003Financial Modelling with Jump Processes 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1997Intraday periodicity and volatility persistence in financial markets 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 2010Towards a Theory of Volatility Trading

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008On the Valuation of Variance Swaps with Stochastic Volatilityarticle · 14 shared references 2012Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations casearticle · 13 shared references 2014Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Ratearticle · 10 shared references 2011An analytical formula for VIX futures and its applicationsarticle · 9 shared references 2011Pricing VIX options with stochastic volatility and random jumpsarticle · 9 shared references 2008A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITYarticle · 8 shared references

Details

Year2015

Typearticle

Published2015-05-04

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.cam.2015.04.036

openalex_workW265987355

Links

Imported from OpenAlex (CC0) — nothing here is generated.