SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing of volatility derivatives in a Heston–CIR model with Markov-modulated jump diffusion
16 references·0 citing·44 second hop
Pricing of volatility derivatives in a Heston–CIR model with Markov-modulated jump diffusion (2021)Pricing of volatility derivatives in a He…Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2012)Pricing variance and volatili…Volatility Derivatives (2009)Volatility DerivativesTHE 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 …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…Pricing options on realized variance (2005)Pricing options on realized v…Modeling electricity prices: jump diffusion and regime switching (2004)Modeling electricity prices: …Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Identifying Bull and Bear Markets in Stock Returns (2000)Identifying Bull and Bear Mar…Identifying Bull and Bear Markets in Stock Returns (2000)Identifying Bull and Bear Mar…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)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)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Théorie de la spéculation (1900)An equilibrium characterization of the term structure (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Modelling spikes and pricing swing options in electricity markets (2009)A Survey of Commodity Markets and Structural Models for Electricity Prices (2013)Adoption of residential solar power under uncertainty: Implications for renewable energy incentives (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Forecasting Output and Inflation: The Role of Asset Prices (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)On estimating the expected return on the market (1980)Noise Trader Risk in Financial Markets (1990)Short-Run Pain, Long-Run Gain: Financial Liberalization and Stock Market Cycles (2008)A model of carbon price interactions with macroeconomic and energy dynamics (2011)Does the price of oil interact with clean energy prices in the stock market? (2013)Bubbles, Rational Expectations and Financial Markets (1982)A Markov Model of Switching-Regime ARCH (1994)Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility (1997)The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach (2009)Asset market linkages: Evidence from financial, commodity and real estate assets (2010)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)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)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)
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
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1991Financial Investment Opportunities and the Macroeconomy844 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit737 cited
  • 2000Identifying Bull and Bear Markets in Stock Returns320 cited
  • 2004Modeling electricity prices: jump diffusion and regime switching254 cited
  • 2000Identifying Bull and Bear Markets in Stock Returns229 cited
  • 2009Volatility Derivatives178 cited
  • 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS172 cited
  • 2005Pricing options on realized variance132 cited
  • 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

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

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

    No citing works inside the corpus for this window.