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Volatility swaps and volatility options on discretely sampled realized variance

Lian, Guanghua; Chiarella, Carl; Kalev, Petko S. - In: Journal of economic dynamics & control 47 (2014), pp. 239-262

Persistent link: https://www.econbiz.de/10010485855

Negative call prices

Ruf, Johannes - In: Annals of finance 9 (2013) 4, pp. 787-794

Persistent link: https://www.econbiz.de/10010196568

Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes

Zheng, Wendong; Yuen, Chi Hung; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011455019

Pricing with finite dimensional dependence

Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417

Persistent link: https://www.econbiz.de/10011499694

A unified view of LIBOR models

Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis - In: Advanced modelling in mathematical finance : in honour …, (pp. 423-452). 2016

Persistent link: https://www.econbiz.de/10011800390

Hedging (co)variance risk with variance swaps

Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943

Persistent link: https://www.econbiz.de/10009380996

Volatility derivatives in market models with jumps

Lo, Harry; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193

Persistent link: https://www.econbiz.de/10009407653

The law of one price in equity volatility markets

Van Tassel, Peter - 2020

This paper documents law of one price violations in equity volatility markets. While tightly linked by no-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static arbitrage opportunities occur when the prices of VIX...

Persistent link: https://www.econbiz.de/10012391498

Resolution of policy uncertainty and sudden declines in volatility

Amengual, Dante; Xiu, Dacheng - In: Journal of econometrics 203 (2018) 2, pp. 297-315

Persistent link: https://www.econbiz.de/10011974676