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A closed-form exact solution for pricing variance swaps with stochastic volatility

Zhu, Song-ping; Lian, Guang-hua - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 233-256

Persistent link: https://www.econbiz.de/10008935680

KrigHedge : Gaussian process surrogates for Delta hedging

Ludkovski, Mike; Saporito, Yuri - In: Applied mathematical finance 28 (2021) 4, pp. 330-360

Persistent link: https://www.econbiz.de/10013411700

Pricing and hedging of lookback options in hyper-exponential jump diffusion models

Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511

Persistent link: https://www.econbiz.de/10010235585

A note on options and bubbles under the CEV model : implications for pricing and hedging

Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - In: Review of derivatives research 23 (2020) 3, pp. 249-272

Persistent link: https://www.econbiz.de/10012303226

Exchange options under clustered jump dynamics

Ma, Yong; Pan, Dongtao; Wang, Tianyang - In: Quantitative finance 20 (2020) 6, pp. 949-967

Persistent link: https://www.econbiz.de/10012262652

Intraday and weekend volatility patterns : implications for option pricing

Sundkvist, Kim (contributor); Vikström, Mikael (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001557353

Option-Based Volatility Timing

Kita, Arben; Ronchetti, Diego; Zhang, Yue - 2023

We show that a volatility-managed strategy using equity options provides higher alphas, increases Sharpe ratios, and generates significant utility gains for investors, exceeding those of the statistical volatility-managed counterparts. Return and volatility expectations embedded in options...

Persistent link: https://www.econbiz.de/10014355906

Asymmetric suppliers' Optimal investment timing decisions

Kumar, Manoj - In: Eurasian journal of business and economics : EJBE 12 (2019) 23, pp. 97-124

Persistent link: https://www.econbiz.de/10012225598

A time consistent derivative strategy

Mudzimbabwe, Walter - In: International journal of financial engineering 7 (2020) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10012602691

Time to Maturity Volatility : An Application to Index Derivatives

O'Connor, Ian; Sawyer, Kim R. - 2006

The basic assumption of the Black-Scholes option pricing is that volatility is constant over the time to maturity of … the option. We consider how the estimation of volatility is affected by the time to maturity. In particular, we consider … the empirical distribution of volatility as a function of the time to maturity and propose a threshold estimator based on …

Persistent link: https://www.econbiz.de/10014057420