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Volatility and variance swaps...
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1
Variance and
volatility
swaps and options under the exponential fractional Ornstein-Uhlenbeck model
Kim, Hyun-Gyoon
;
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The North American journal of economics and finance : a …
72
(
2024
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014534851
Saved in:
2
Quadratic variance
swap
models
Filipović, Damir
;
Gourier, Elise
;
Mancini, Loriano
- In:
Journal of financial economics
119
(
2016
)
1
,
pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
Saved in:
3
Pricing variance and
volatility
swaps for Barndorff-Nielsen and Shephard process driven financial markets
Habtemicael, Semere
;
SenGupta, Indranil
- In:
International journal of financial engineering
3
(
2016
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011673089
Saved in:
4
Analysis of variance based instruments for Ornstein-Uhlenbeck type models :
swap
and price index
Issaka, Aziz
;
SenGupta, Indranil
- In:
Annals of finance
13
(
2017
)
4
,
pp. 401-434
Persistent link: https://www.econbiz.de/10011945581
Saved in:
5
Variance swaps with double exponential Ornstein-Uhlenbeck stochastic
volatility
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
Saved in:
6
Pricing
volatility
swaps in the Heston's stochastic
volatility
model with regime switching : a saddlepoint approximation method
Zhang, Mengzhe
;
Chan, Leunglung
- In:
International journal of financial engineering
3
(
2016
)
4
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011673092
Saved in:
7
An investigation of model risk in a market with jumps and stochastic
volatility
Coqueret, Guillaume
- In:
European journal of operational research : EJOR
253
(
2016
)
3
,
pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
Saved in:
8
The VIX and future information
Hess, Markus
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
Saved in:
9
Equilibrium price of variance swaps under stochastic
volatility
with Lévy jumps and stochastic interest rate
Yang, Ben-Zhang
;
Yue, Jia
;
Huang, Nan-Jing
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012030903
Saved in:
10
Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum
;
Kim, Jeong-Hoon
;
Kim, See-Woo
- In:
Computational economics
57
(
2021
)
4
,
pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
Saved in:
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