SZodixStudyAcademic Library

Shelves Open access

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

Variance and volatility swaps valuations with the stochastic liquidity risk · Study

ArticleShelves

ArticleVariance and volatility swaps valuations with the stochastic liquidity risk

Dexuan Xu2020

Article2020

Variance and volatility swaps valuations with the stochastic liquidity risk

Dexuan Xu · Ben-Zhang Yang · Jian-hao Kang · Nan‐jing Huang

20 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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 Markets and Investment Strategies Financial Risk and Volatility Modeling

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 — 20 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2004Stochastic Calculus for Finance II: Continuous-Time Models 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS 2002Advances in Finance and Stochastics n.d.Limit theorems for bipower variations in financial econometrics 2008A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

Related works

Explore the map →

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

2011Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumpsarticle · 7 shared references 2022A closed-form pricing formula for European options in an illiquid asset marketarticle · 6 shared references 2024A stochastic liquidity risk model with stochastic volatility and its applications to option pricingarticle · 6 shared references 2023Exchange options with stochastic liquidity riskarticle · 6 shared references 2014Volatility swaps and volatility options on discretely sampled realized variancearticle · 6 shared references 2008On the Valuation of Variance Swaps with Stochastic Volatilityarticle · 5 shared references

Details

Year2020

Typearticle

Published2020-12-17

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.physa.2020.125679

openalex_workW3111150757

Links

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