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On the pricing and hedging of volatility derivatives

Citations

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Cited by:

  1. 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.
  2. 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.
  3. Yang, Ben-Zhang & Yue, Jia & Wang, Ming-Hui & Huang, Nan-Jing, 2019. "Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity," Applied Mathematics and Computation, Elsevier, vol. 355(C), pages 73-84.
  4. Chen Mao & Guanqi Liu & Yuwen Wang, 2021. "A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate," Mathematics, MDPI, vol. 10(1), pages 1-17, December.
  5. Lin, Sha & He, Xin-Jiang, 2020. "Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  6. Alexander M. G. Cox & Jiajie Wang, 2011. "Root's barrier: Construction, optimality and applications to variance options," Papers 1104.3583, arXiv.org, revised Mar 2013.
  7. Nicolas Merener, 2012. "Swap rate variance swaps," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 249-261, May.
  8. 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.
  9. M. Eren Akbiyik & Mert Erkul & Killian Kaempf & Vaiva Vasiliauskaite & Nino Antulov-Fantulin, 2021. "Ask "Who", Not "What": Bitcoin Volatility Forecasting with Twitter Data," Papers 2110.14317, arXiv.org, revised Dec 2022.
  10. Carole Bernard & Zhenyu Cui, 2013. "Prices and Asymptotics for Discrete Variance Swaps," Papers 1305.7092, arXiv.org.
  11. Andrew Papanicolaou & Ronnie Sircar, 2014. "A regime-switching Heston model for VIX and S&P 500 implied volatilities," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1811-1827, October.
  12. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
  13. Piotr Pluciennik, 2010. "Forecasting Financial Processes by Using Diffusion Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 51-60.
  14. Ben-zhang Yang & Jia Yue & Ming-hui Wang & Nan-jing Huang, 2018. "Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity," Papers 1805.06226, arXiv.org, revised May 2018.
  15. Max O. Souza & Jorge P. Zubelli, 2007. "On The Asymptotics Of Fast Mean-Reversion Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(05), pages 817-835.
  16. Windcliff, H. & Forsyth, P.A. & Vetzal, K.R., 2006. "Pricing methods and hedging strategies for volatility derivatives," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 409-431, February.
  17. Mengzhe Zhang & Leunglung Chan, 2016. "Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint approximation method," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-20, December.
  18. 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.
  19. Ah-Reum Han & Jeong-Hoon Kim & See-Woo Kim, 2021. "Variance Swaps with Deterministic and Stochastic Correlations," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1059-1092, April.
  20. 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.
  21. Xin-Jiang He & Song-Ping Zhu, 2019. "Variance And Volatility Swaps Under A Two-Factor Stochastic Volatility Model With Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-19, June.
  22. 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).
  23. 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, September.
  24. 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).
  25. Lorenzo Torricelli, 2012. "Pricing joint claims on an asset and its realized variance under stochastic volatility models," Papers 1206.2112, arXiv.org.
  26. Zhu, Song-Ping & Lian, Guang-Hua, 2015. "Pricing forward-start variance swaps with stochastic volatility," Applied Mathematics and Computation, Elsevier, vol. 250(C), pages 920-933.
  27. 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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