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Valuation, hedging, and bounds of swaps under multi-factor BNS-type stochastic volatility models

Issaka, Aziz - In: Annals of financial economics 15 (2020) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012642967

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

Empirical deep hedging

Mikkilä, Oskari; Kanniainen, Juho - In: Quantitative finance 23 (2023) 1, pp. 111-122

Persistent link: https://www.econbiz.de/10013490958

Optimal delta hedging for options

Hull, John; White, Alan - In: Journal of banking & finance 82 (2017), pp. 180-190

Persistent link: https://www.econbiz.de/10011816799

Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models

Rolloos, Frido - 2023

generalized to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with …In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is … Gaussian weights. For the family of stochastic volatility models our pricing and hedging results are model-independent and can …

Persistent link: https://www.econbiz.de/10014355542

Hedging (co)variance risk with variance swaps

Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943

Persistent link: https://www.econbiz.de/10009380996

Quadratic hedging strategies for volatility swaps

Wang, Xingchun; Fu, Jianping; Wang, Guanying; Wang, Yongjin - In: Finance research letters 15 (2015), pp. 125-132

Persistent link: https://www.econbiz.de/10011553014

Fractional Barndorff-Nielsen and Shephard model : applications in variance and volatility swaps, and hedging

Salmon, Nicholas; SenGupta, Indranil - In: Annals of finance 17 (2021) 4, pp. 529-558

Persistent link: https://www.econbiz.de/10012664151

Barndorff-Nielsen and Shephard model : oil hedging with variance swap and option

SenGupta, Indranil; Wilson, William W.; Nganje, William - In: Mathematics and financial economics 13 (2019) 2, pp. 209-226

Persistent link: https://www.econbiz.de/10012055793

A three-factor hazard rate model for single-name credit default swap pricing

Zhong, Yangfan; Mi, Yanhui - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 27-63

Persistent link: https://www.econbiz.de/10014546386