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Variance and volatility swaps valuations with the stochastic liquidity risk
16 references·0 citing·41 second hop
Variance and volatility swaps valuations with the stochastic liquidity risk (2020)Variance and volatility swaps valuations …A General Framework for Time-Changed Markov Processes and Applications (2018)A General Framework for Time-…Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017)Analysis of variance based in…Option pricing with stochastic liquidity risk: Theory and evidence (2013)Option pricing with stochasti…Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2012)Pricing variance and volatili…THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (2008)THE EFFECT OF JUMPS AND DISCR…A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2008)A CLOSED‐FORM EXACT SOLUTION …From Stochastic Calculus to Mathematical Finance (2006)From Stochastic Calculus to M…A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2006)A Central Limit Theorem for R…Stochastic Calculus for Finance II: Continuous-Time Models (2004)Stochastic Calculus for Finan…On the pricing and hedging of volatility derivatives (2004)On the pricing and hedging of…Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatilities (2004)Modeling of Variance and Vola…Laplace Transforms and Suprema of Stochastic Processes (2002)Laplace Transforms and Suprem…Advances in Finance and Stochastics (2002)Advances in Finance and Stoch…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Limit theorems for bipower variations in financial econometricsLimit theorems for bipower va…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Limit Theorems for Stochastic Processes (2003)Modeling and Forecasting Realized Volatility (2003)Limit theorems for multipower variation in the presence of jumps (2006)Measuring Downside Risk - Realised Semivariance (2008)Estimators of fractal dimension: Assessing the roughness of time series and spatial data (2010)A Theory of the Term Structure of Interest Rates (1985)Financial Modelling with Jump Processes (2003)An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching (2016)A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (2020)A fractional Black-Scholes model with stochastic volatility and European option pricing (2021)Theory of Rational Option Pricing (1973)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)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)Stochastic Calculus and Applications. (1986)Local martingales and the fundamental asset pricing theorems in the discrete-time case (1998)A generalized Gittins index for a Markov chain and its recursive calculation (2008)Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes (2009)What happens after a default: The conditional density approach (2010)Proceedings of the international conference « Territorial Intelligence, Socioecological Transition ans resiliency of the territories » (2013)Expected stock returns and volatility (1987)Jump-Robust Volatility Estimation using Nearest Neighbor Truncation (2009)Review of Economic Studies (2010)A fourier transform method for nonparametric estimation of multivariate volatility (2012)Parametric Inference and Dynamic State Recovery From Option Panels (2015)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)Option pricing with an illiquid underlying asset market (2005)Stochastic orders and risk measures: Consistency and bounds (2005)Law invariant convex risk measures (2006)An analytical formula for VIX futures and its applications (2011)A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (2017)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 cited
  • 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales282 cited
  • 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS172 cited
  • 2002Advances in Finance and Stochastics154 cited
  • n.d.Limit theorems for bipower variations in financial econometrics141 cited
  • 2008A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY131 cited
  • 2006From Stochastic Calculus to Mathematical Finance112 cited
  • 2012Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case102 cited
  • 2004On the pricing and hedging of volatility derivatives94 cited
  • 2013Option pricing with stochastic liquidity risk: Theory and evidence74 cited
  • 2004Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatilities67 cited
  • 2018A General Framework for Time-Changed Markov Processes and Applications53 cited

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2017
Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index
49 cited
  • 2002Laplace Transforms and Suprema of Stochastic Processes48 cited
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