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Hedging volatility risk
16 references·12 citing·37 second hop
Hedging volatility risk (2005)Hedging volatility riskTowards a Theory of Volatility Trading (2010)Towards a Theory of Volatilit…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Delta-Hedged Gains and the Ne…The Price of a Smile: Hedging and Spanning in Option Markets (2001)The Price of a Smile: Hedging…Expected Option Returns (2001)Expected Option ReturnsSpanning and derivative-security valuation (2000)Spanning and derivative-secur…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…Derivatives on Market Volatility (1993)Derivatives on Market Volatil…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…A Simple Formula to Compute the Implied Standard Deviation (1988)A Simple Formula to Compute t…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The valuation of compound options (1979)The valuation of compound opt…Economic indicators and stock market volatility in an emerging economy (2020)Economic indicators and stock…Interest rate volatility and risk management: Evidence from CBOE Treasury options (2017)Interest rate volatility and …The evaluation of American compound option prices under stochastic volatility and stochastic interest rates (2013)The evaluation of American co…Model-Free Volatility Indexes in the Financial Literature: A Review (2013)Model-Free Volatility Indexes…The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index (2011)The information content of th…The diversification effects of volatility-related assets (2010)The diversification effects o…A simplified pricing model for volatility futures (2010)A simplified pricing model fo…The CBOE S&P 500 three‐month variance futures (2009)The CBOE S&P 500 three‐month …Corporate debt issues and interest rate risk management: Hedging or market timing? (2009)Corporate debt issues and int…A Jump Diffusion Model for VIX Volatility Options and Futures (2007)A Jump Diffusion Model for VI…Volatility options: Hedging effectiveness, pricing, and model error (2005)Volatility options: Hedging e…Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany (2004)Local and spillover shocks in…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Determinants of corporate borrowing (1977)Option values under stochastic volatility: Theory and empirical estimates (1987)THE GARCH OPTION PRICING MODEL (1995)Arbitrage Theory in Continuous Time (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Demand-Based Option Pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000)Time-changed Lévy processes and option pricing (2003)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)Tails, Fears, and Risk Premia (2011)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Model Specification and Risk Premia: Evidence from Futures Options (2007)Ex Ante Skewness and Expected Stock Returns (2012)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1979The valuation of compound options1,107 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium934 cited
  • 2001Expected Option Returns771 cited
  • 2000Spanning and derivative-security valuation746 cited
  • 2010Towards a Theory of Volatility Trading561 cited
  • 1993Derivatives on Market Volatility473 cited
  • 1999A Guide to Volatility and Variance Swaps439 cited
  • 1996Valuing futures and options on volatility225 cited
  • 2001The Price of a Smile: Hedging and Spanning in Option Markets219 cited
  • 1988A Simple Formula to Compute the Implied Standard Deviation

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194 cited

Cited by

  • 2007A Jump Diffusion Model for VIX Volatility Options and Futures68 cited
  • 2013Model-Free Volatility Indexes in the Financial Literature: A Review67 cited
  • 2004Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany62 cited
  • 2011The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index54 cited
  • 2009The CBOE S&P 500 three‐month variance futures53 cited
  • 2010The diversification effects of volatility-related assets51 cited
  • 2020Economic indicators and stock market volatility in an emerging economy45 cited
  • 2005Volatility options: Hedging effectiveness, pricing, and model error44 cited
  • 2010A simplified pricing model for volatility futures26 cited
  • 2013The evaluation of American compound option prices under stochastic volatility and stochastic interest rates24 cited
  • 2017Interest rate volatility and risk management: Evidence from CBOE Treasury options24 cited
  • 2009Corporate debt issues and interest rate risk management: Hedging or market timing?21 cited