Volatility Derivatives
Year of publication: |
2009
|
---|---|
Authors: | Carr, Peter ; Lee, Roger |
Published in: |
Annual Review of Financial Economics. - Annual Reviews, ISSN 1941-1367. - Vol. 1.2009, 1, p. 319-339
|
Publisher: |
Annual Reviews |
Subject: | variance swap | volatility swap | realized variance | realized volatility | implied volatility |
-
Carr, Peter, (2004)
-
VOLATILITY REGIMES FOR THE VIX INDEX
ROMO, JACINTO MARABEL, (2012)
-
A comparison of implied and realized volatility in the Nordic power forward market
Birkelund, Ole Henrik, (2015)
- More ...
-
Variation and share-weighted variation swaps on time-changed Lévy processes
Carr, Peter, (2013)
-
Robust replication of volatility and hybrid derivatives on jump diffusions
Carr, Peter, (2021)
-
Variance swaps on time-changed Lévy processes
Carr, Peter, (2012)
- More ...