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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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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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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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Volatility and variance swaps and options in the fractional SABR model
Kim, See-Woo; Kim, Jeong-Hoon - In: The European journal of finance 26 (2020) 17, pp. 1725-1745
Persistent link: https://www.econbiz.de/10012314649
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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
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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
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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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Effect of variance swap in hedging volatility risk
Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34
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 … consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the …
Persistent link: https://www.econbiz.de/10012293125