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Pricing options on realized variance

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Cited by:

  1. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
  2. Madan, Dilip B. & Wang, King, 2021. "The structure of financial returns," Finance Research Letters, Elsevier, vol. 40(C).
  3. Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
  4. Don M. Chance & Eric Hillebrand & Jimmy E. Hilliard, 2008. "Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue," Management Science, INFORMS, vol. 54(5), pages 1015-1028, May.
  5. Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki, 2009. "Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments," CARF F-Series CARF-F-161, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  6. Kyoung-Kuk Kim & Sojung Kim, 2016. "Simulation of Tempered Stable Lévy Bridges and Its Applications," Operations Research, INFORMS, vol. 64(2), pages 495-509, April.
  7. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
  8. Wendong Zheng & Chi Hung Yuen & Yue Kuen Kwok, 2016. "Recursive Algorithms For Pricing Discrete Variance Options And Volatility Swaps Under Time-Changed Lévy Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-29, March.
  9. Wing Hong Chan & Ranjini Jha & Madhu Kalimipalli, 2009. "The Economic Value Of Using Realized Volatility In Forecasting Future Implied Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 231-259, September.
  10. Fred Espen Benth & Martin Groth & Rodwell Kufakunesu, 2007. "Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 347-363.
  11. Gong, Yaxian, 2020. "Credit default swap and two-sided moral hazard," Finance Research Letters, Elsevier, vol. 34(C).
  12. Subhojit Biswas & Diganta Mukherjee & Indranil SenGupta, 2020. "Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model," Papers 2011.13474, arXiv.org.
  13. Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki, 2010. "Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments," CARF F-Series CARF-F-238, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  14. Nicolas Merener, 2012. "Swap rate variance swaps," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 249-261, May.
  15. Lian, Guanghua & Chiarella, Carl & Kalev, Petko S., 2014. "Volatility swaps and volatility options on discretely sampled realized variance," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 239-262.
  16. Anatoliy Swishchuk & Sebastian Franco, 2023. "Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities," Risks, MDPI, vol. 11(9), pages 1-22, September.
  17. Wei Lin & Shenghong Li & Xingguo Luo & Shane Chern, 2015. "Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model," Papers 1510.01172, arXiv.org, revised Nov 2015.
  18. Ernst Eberlein & Dilip Madan, 2009. "Sato processes and the valuation of structured products," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 27-42.
  19. Colino, Jesús P. & Nogales, Francisco J. & Stute, Winfried, 2008. "LIBOR additive model calibration to swaptions markets," DES - Working Papers. Statistics and Econometrics. WS ws085619, Universidad Carlos III de Madrid. Departamento de Estadística.
  20. Martin Schweizer & Johannes Wissel, 2008. "Term Structures Of Implied Volatilities: Absence Of Arbitrage And Existence Results," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 77-114, January.
  21. Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model," Research Paper Series 306, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. M. R. Grasselli & T. R. Hurd, 2007. "Indifference Pricing and Hedging for Volatility Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 303-317.
  23. Subhojit Biswas & Diganta Mukherjee, 2019. "A Proposal for Multi-asset Generalised Variance Swaps," Papers 1908.03899, arXiv.org.
  24. Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki, 2011. "Hedging European Derivatives With The Polynomial Variance Swap Under Uncertain Volatility Environments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 485-505.
  25. Andrey Itkin & Peter Carr, 2012. "Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 63-104, June.
  26. Martin Keller-Ressel & Johannes Muhle-Karbe, 2013. "Asymptotic and exact pricing of options on variance," Finance and Stochastics, Springer, vol. 17(1), pages 107-133, January.
  27. Peter Carr & Roger Lee, 2013. "Variation and share-weighted variation swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 17(4), pages 685-716, October.
  28. Colino, Jesús P., 2008. "New stochastic processes to model interest rates : LIBOR additive processes," DES - Working Papers. Statistics and Econometrics. WS ws085316, Universidad Carlos III de Madrid. Departamento de Estadística.
  29. Jan Baldeaux & Alexander Badran, 2014. "Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(4), pages 299-312, September.
  30. Lan Zhang, 2012. "Implied and realized volatility: empirical model selection," Annals of Finance, Springer, vol. 8(2), pages 259-275, May.
  31. Dan Pirjol & Xiaoyu Wang & Lingjiong Zhu, 2024. "Short-maturity asymptotics for VIX and European options in local-stochastic volatility models," Papers 2407.16813, arXiv.org.
  32. Gabriel G. Drimus, 2012. "Options on realized variance by transform methods: a non-affine stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1679-1694, November.
  33. Wendong Zheng & Yue Kuen Kwok, 2014. "Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(1), pages 1-31, March.
  34. Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.
  35. M. Dashti Moghaddam & Jiong Liu & R. A. Serota, 2021. "Implied and realized volatility: A study of distributions and the distribution of difference," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2581-2594, April.
  36. Giovanni Salvi & Anatoliy V. Swishchuk, 2012. "Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities," Papers 1205.5565, arXiv.org.
  37. Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki, 2009. "Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments," CIRJE F-Series CIRJE-F-653, CIRJE, Faculty of Economics, University of Tokyo.
  38. Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660, August.
  39. Peter Carr & Roger Lee & Liuren Wu, 2012. "Variance swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 16(2), pages 335-355, April.
  40. Peter Carr & Roger Lee, 2010. "Hedging variance options on continuous semimartingales," Finance and Stochastics, Springer, vol. 14(2), pages 179-207, April.
  41. Chourdakis, Kyriakos & Dotsis, George, 2011. "Maximum likelihood estimation of non-affine volatility processes," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 533-545, June.
  42. Andrey Itkin & Peter Carr, 2010. "Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case," Review of Derivatives Research, Springer, vol. 13(2), pages 141-176, July.
  43. Leunglung Chan & Eckhard Platen, 2010. "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers 1007.2968, arXiv.org, revised Jan 2011.
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