SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing variance swaps under the Hawkes jump‐diffusion process
16 references·2 citing·30 second hop
Pricing variance swaps under the Hawkes jump‐diffusion process (2019)Pricing variance swaps under the Hawkes j…Modeling financial contagion using mutually exciting jump processes (2015)Modeling financial contagion …Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data (2012)Non-parametric kernel estimat…High-frequency financial data modeling using Hawkes processes (2012)High-frequency financial data…THE 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 …Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Estimating stochastic volatility diffusion using conditional moments of integrated volatility (2002)Estimating stochastic volatil…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…A Guide to Volatility and Variance Swaps (1999)A Guide to Volatility and Var…Valuing futures and options on volatility (1996)Valuing futures and options o…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives (2021)Analytically pricing volatili…Consistent pricing of VIX options with the Hawkes jump-diffusion model (2020)Consistent pricing of VIX opt…The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Theory of the Term Structure of Interest Rates (1985)A theoretical comparison between integrated and realized volatility (2002)Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (2004)Brownian Motion and Stochastic Calculus (2007)Option valuation with long-run and short-run volatility components☆ (2008)Option pricing when underlying stock returns are discontinuous (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Wavelet-based evidence of the impact of oil prices on stock returns (2013)Contagion in Mass Killings and School Shootings (2015)Hawkes Processes in Finance (2015)The Pricing of Options on Assets with Stochastic Volatilities (1987)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)Tails, Fears, and Risk Premia (2011)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)On estimating the expected return on the market (1980)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (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)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)
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
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 2015Modeling financial contagion using mutually exciting jump processes576 cited
  • 1999A Guide to Volatility and Variance Swaps439 cited
  • 2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility318 cited
  • 1996Valuing futures and options on volatility225 cited
  • 2012Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data178 cited
  • 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS172 cited
  • 2012High-frequency financial data modeling using Hawkes processes153 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2008
Robust Replication of Volatility Derivatives
135 cited
  • 2008A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY131 cited
  • Cited by

    • 2021Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives22 cited
    • 2020Consistent pricing of VIX options with the Hawkes jump-diffusion model19 cited