Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
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DOI: 10.1007/s10479-018-2941-9
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Cited by:
- Escobar-Anel, Marcos & Spies, Ben & Zagst, Rudi, 2024. "Mean–variance optimization under affine GARCH: A utility-based solution," Finance Research Letters, Elsevier, vol. 59(C).
- Escobar-Anel, Marcos & Gollart, Maximilian & Zagst, Rudi, 2022.
"Closed-form portfolio optimization under GARCH models,"
Operations Research Perspectives, Elsevier, vol. 9(C).
- Marcos Escobar-Anel & Maximilian Gollart & Rudi Zagst, 2021. "Closed-form portfolio optimization under GARCH models," Papers 2109.00433, arXiv.org.
- Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
- Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2021. "Option pricing with conditional GARCH models," European Journal of Operational Research, Elsevier, vol. 289(1), pages 350-363.
- Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020. "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Hongkai Cao & Alexandru Badescu & Zhenyu Cui & Sarath Kumar Jayaraman, 2020. "Valuation of VIX and target volatility options with affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1880-1917, December.
- Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2023. "Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Sha Lin & Xin‐Jiang He, 2024. "Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1447-1461, August.
- He, Xin-Jiang & Lin, Sha, 2023. "Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
- Xu, De-xuan & Yang, Ben-zhang & Kang, Jian-hao & Huang, Nan-jing, 2021. "Variance and volatility swaps valuations with the stochastic liquidity risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
- Maciej Augustyniak & Alexandru Badescu, 2021. "On the computation of hedging strategies in affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 710-735, May.
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Keywords
Variance swaps; Realized variance; Affine GARCH models; Variance dependent pricing kernels; Diffusion limits;All these keywords.
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