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A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
16 references·0 citing·35 second hop
A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (2018)A series-form solution for pricing varian…Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2012)Pricing variance and volatili…On the Heston Model with Stochastic Interest Rates (2011)On the Heston Model with Stoc…Volatility Derivatives (2009)Volatility DerivativesTerm-Structure Models (2009)Term-Structure ModelsTHE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (2008)THE EFFECT OF JUMPS AND DISCR…Robust Replication of Volatility Derivatives (2008)Robust Replication of Volatil…A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2008)A CLOSED‐FORM EXACT SOLUTION …Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Pricing Volatility Swaps Unde…Interest rate models : theory and practice : with smile, inflation and credit (2006)Interest rate models : theory…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Valuing futures and options on volatility (1996)Valuing futures and options o…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)The Pricing of Options on Assets with Stochastic Volatilities (1987)Post-'87 crash fears in the S&P 500 futures option market (2000)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)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)The Price of a Smile: Hedging and Spanning in Option Markets (2001)Options and Bubbles (2006)Valuation of VIX derivatives (2012)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (2012)Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014)A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (2017)Handbook of Financial Engineering (2008)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)Affine processes on positive semidefinite matrices (2011)The Term Structure of Interbank Risk (2012)Numerical Solution of Stochastic Differential Equations (2016)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
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  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
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  • 2006Interest rate models : theory and practice : with smile, inflation and credit742 cited
  • 2009Term-Structure Models403 cited
  • 2011On the Heston Model with Stochastic Interest Rates248 cited
  • 1996Valuing futures and options on volatility225 cited
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  • 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS172 cited
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  • 2008A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY131 cited
  • 2007Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching128 cited

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  • 2012Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case102 cited
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