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  • Search: subject:"Volatility swaps"
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Year of publication
Subject
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Swap 13 Volatility 13 Volatilität 13 Option pricing theory 12 Optionspreistheorie 12 Stochastic process 9 Stochastischer Prozess 9 Volatility swaps 9 Variance swaps 8 volatility swaps 8 Derivat 6 Derivative 6 Interest rate derivative 4 Zinsderivat 4 stochastic volatility 4 variance swaps 4 correlation swaps 3 covariance swaps 3 Correlation 2 Derivative pricing 2 Fourier-cosine series 2 Hedging 2 Korrelation 2 Liquidity 2 Liquidität 2 Markov chain 2 Markov-Kette 2 Markov-modulated volatility 2 Option trading 2 Optionsgeschäft 2 Pricing 2 Realized variance 2 Stochastic volatility 2 VIX index 2 VXN index 2 Variance options 2 Yield curve 2 Zinsstruktur 2 ARCH model 1 ARCH-Modell 1
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Online availability
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Undetermined 16 CC license 2 Free 2
Type of publication
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Article 20
Type of publication (narrower categories)
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Article in journal 13 Aufsatz in Zeitschrift 13
Language
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English 13 Undetermined 7
Author
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He, Xin-Jiang 3 Chiarella, Carl 2 Kalev, Petko S. 2 Lian, Guanghua 2 Lin, Sha 2 Sviščuk, Anatolij 2 Alòs, Elisa 1 BROADIE, MARK 1 Carr, Peter 1 Chan, Leunglung 1 Chen, Hongdan 1 Elliott, Robert 1 Forde, Martin 1 Franco, Sebastian 1 Fu, Jianping 1 Gouriéroux, Christian 1 Guo, Xunxiang 1 Höcht, Stephan 1 Itkin, Andrey 1 JAIN, ASHISH 1 Jacquier, Antoine 1 Jarrow, Robert 1 Kchia, Younes 1 Kwok, Yue-Kuen 1 Larsson, Martin 1 Monfort, Alain 1 Protter, Philip 1 Rujeerapaiboon, Napat 1 SALVI, GIOVANNI 1 SWISHCHUK, ANATOLIY V. 1 Salvi, Giovanni 1 Sanae Rujivan 1 Schoutens, Wim 1 Shiraya, Kenichiro 1 Siu, Tak Kuen 1 Verschueren, Eva 1 Wang, Guanying 1 Wang, Ke 1 Wang, Xingchun 1 Wang, Yongjin 1
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Published in...
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International journal of theoretical and applied finance 3 Applied Mathematical Finance 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Computational economics 1 Finance and Stochastics 1 Finance and stochastics 1 Finance research letters 1 Financial innovation : FIN 1 Journal of Economic Dynamics and Control 1 Journal of econometrics 1 Journal of economic dynamics & control 1 Quantitative finance 1 Review of Derivatives Research 1 Risks : open access journal 1 The North American journal of economics and finance : a journal of financial economics studies 1 The journal of futures markets 1
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Source
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ECONIS (ZBW) 13 RePEc 7
Showing 1 - 10 of 20
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Discounted-likelihood valuation of variance and volatility swaps
Rujeerapaiboon, Napat; Sanae Rujivan; Chen, Hongdan - In: Financial innovation : FIN 11 (2025), pp. 1-34
distributed, our approach for pricing variance and volatility swaps could be greatly simplified, benefit from parallel computing …
Persistent link: https://www.econbiz.de/10015573691
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Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities
Sviščuk, Anatolij; Franco, Sebastian - In: Risks : open access journal 11 (2023) 9, pp. 1-22
In this article, we study stochastic orders over an interval. Mainly, we focus on orders related to the Laplace transform. The results are then applied to obtain a bound for heavy-tailed distributions and are illustrated by some examples. We also indicate how these ordering relationships can be...
Persistent link: https://www.econbiz.de/10014375249
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On the pricing of capped volatility swaps using machine learning techniques
Höcht, Stephan; Schoutens, Wim; Verschueren, Eva - In: Quantitative finance 24 (2024) 9, pp. 1287-1300
Persistent link: https://www.econbiz.de/10015196887
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Valuations of variance and volatility swaps under double Heston jump‑diffusion model with approximative fractional stochastic volatility
Wang, Ke; Guo, Xunxiang - In: Computational economics 63 (2024) 4, pp. 1543-1573
Persistent link: https://www.econbiz.de/10014549124
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Closed-form formulae for variance and volatility swaps under stochastic volatility with stochastic liquidity risks
Lin, Sha; He, Xin-Jiang - In: The journal of futures markets 44 (2024) 8, pp. 1447-1461
Persistent link: https://www.econbiz.de/10015110668
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Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks
He, Xin-Jiang; Lin, Sha - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014483995
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Estimating the Hurst parameter from short term volatility swaps : a Malliavin calculus approach
Alòs, Elisa; Shiraya, Kenichiro - In: Finance and stochastics 23 (2019) 2, pp. 423-447
Persistent link: https://www.econbiz.de/10012023744
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Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
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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
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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
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