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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
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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
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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
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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
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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
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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
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Forward start volatility swaps in rough volatility models
Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro - 2022
Persistent link: https://www.econbiz.de/10014266236
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Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific financial markets 21 (2014) 4, pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
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Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
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New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey - In: Review of derivatives research 16 (2013) 2, pp. 111-134
Persistent link: https://www.econbiz.de/10009774404