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Closed form pricing formulas for discretely sampled generalized variance swaps

Zheng, Wendong; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 855-881

Persistent link: https://www.econbiz.de/10011308159

Valuation of options on discretely sampled variance : a general analytic approximation

Drimus, Gabriel; Farkas, Walter; Gourier, Elise - In: The journal of computational finance 20 (2016) 2, pp. 39-66

Persistent link: https://www.econbiz.de/10011656703

Persistent and transient variance components in option pricing models with variance-dependent Kernel

Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32

Persistent link: https://www.econbiz.de/10015179565

Variance reduction estimation for return models with jumps using gamma asymmetric kernels

Song, Yuping; Hou, Weijie; Zhou, Shengyi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-38

Persistent link: https://www.econbiz.de/10012198377

An expanded Local Variance Gamma model

Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987

Persistent link: https://www.econbiz.de/10012543243

Singular diffusions, constant elasticity of variance processes and logarithmic rates of return

Liu, Siqi; Melia, Adrian; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 26 (2020) 9, pp. 837-853

Persistent link: https://www.econbiz.de/10012207313

Pricing Options on Discrete Realized Variance with Partially Exact and Bounded Approximations

Zheng, Wendong - 2015

) under affine stochastic volatility models with jumps using the partially exact and bounded (PEB) approximations. The PEB …

Persistent link: https://www.econbiz.de/10013015831

Closed-form variance swap prices under general affine GARCH models and their continuous-time limits

Andrikopoulos, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Application of operations research to financial markets, (pp. 27-57). 2019

Persistent link: https://www.econbiz.de/10012157341

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

mathematics for the dynamics of asset prices and their volatility. Calibrating it to real data would be very useful in many … practical scenarios. It is very challenging, however, since the volatility is not directly observable. In this paper, a complete …

Persistent link: https://www.econbiz.de/10014362627

Efficient, almost exact simulation of the heston stochastic volatility model

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10008860425