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From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
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Pricing joint claims on an asset and its realized variance in stochastic volatility models
Torricelli, Lorenzo - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009725085
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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
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European option pricing model based on uncertain fractional differential equation
Lu, Ziqiang; Yan, Hongyan; Zhu, Yuanguo - In: Fuzzy optimization and decision making : a journal of … 18 (2019) 2, pp. 199-217
Persistent link: https://www.econbiz.de/10012228556
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Effect of variance swap in hedging volatility risk
Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34
consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the …This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …
Persistent link: https://www.econbiz.de/10012293125
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Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping; Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 78 (2018), pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
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Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287
Persistent link: https://www.econbiz.de/10011350647
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Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
Cheang, Gerald H. L.; Garces, Len Patrick Dominic M. - In: Quantitative finance 20 (2020) 2, pp. 291-310
Persistent link: https://www.econbiz.de/10012194867
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An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373
Persistent link: https://www.econbiz.de/10011619975