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Volatility swaps and volatility options on discretely sampled realized variance
Lian, Guanghua; Chiarella, Carl; Kalev, Petko S. - In: Journal of economic dynamics & control 47 (2014), pp. 239-262
Persistent link: https://www.econbiz.de/10010485855
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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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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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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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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
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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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About stochastic calculus in presence of jumps at predictable stopping times
Galtchouk, Leonid - In: Journal of mathematical finance 6 (2016) 3, pp. 443-456
Persistent link: https://www.econbiz.de/10011583560
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A unified view of LIBOR models
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis - In: Advanced modelling in mathematical finance : in honour …, (pp. 423-452). 2016
Persistent link: https://www.econbiz.de/10011800390
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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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Semimartingale price systems in models with transaction costs beyond efficient friction
Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 26 (2022) 4, pp. 927-982
Persistent link: https://www.econbiz.de/10013440257