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Options on realized variance by transform methods: a non-affine stochastic volatility model

Citations

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Cited by:

  1. Andrew Papanicolaou, 2021. "Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options," Papers 2101.00299, arXiv.org, revised Mar 2021.
  2. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
  3. Wendong Zheng & Pingping Zeng, 2015. "Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model," Papers 1504.08136, arXiv.org.
  4. Pingping Zeng & Ziqing Xu & Pingping Jiang & Yue Kuen Kwok, 2023. "Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 842-890, July.
  5. Almeida, Thiago Ramos, 2024. "Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility," Research in International Business and Finance, Elsevier, vol. 70(PA).
  6. Ben Hambly & Juozas Vaicenavicius, 2015. "The 3/2 Model As A Stochastic Volatility Approximation For A Large-Basket Price-Weighted Index," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-25.
  7. Stefano De Marco, 2020. "On the harmonic mean representation of the implied volatility," Papers 2007.03585, arXiv.org.
  8. Stéphane Goutte & Amine Ismail & Huyên Pham, 2017. "Regime-switching stochastic volatility model: estimation and calibration to VIX options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(1), pages 38-75, January.
  9. Gudmundsson, Hilmar & Vyncke, David, 2019. "On the calibration of the 3/2 model," European Journal of Operational Research, Elsevier, vol. 276(3), pages 1178-1192.
  10. Andrew Papanicolaou, 2018. "Consistent Time-Homogeneous Modeling of SPX and VIX Derivatives," Papers 1812.05859, arXiv.org, revised Mar 2022.
  11. Chi Hung Yuen & Wendong Zheng & Yue Kuen Kwok, 2015. "Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(5), pages 421-449, November.
  12. Andrea Barletta & Elisa Nicolato & Stefano Pagliarani, 2019. "The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 928-966, July.
  13. Iro Ren'e Kouarfate & Michael A. Kouritzin & Anne MacKay, 2020. "Explicit solution simulation method for the 3/2 model," Papers 2009.09058, arXiv.org, revised Jan 2021.
  14. 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.
  15. Zhenyu Cui & Anne MacKay & Marie-Claude Vachon, 2022. "Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation," Papers 2207.14793, arXiv.org.
  16. Pingping Zeng & Yue Kuen Kwok & Wendong Zheng, 2015. "Fast Hilbert Transform Algorithms For Pricing Discrete Timer Options Under Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-26, November.
  17. Xinyu WU & Hailin ZHOU, 2016. "GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 327-342.
  18. Cao, Jiling & Kim, Jeong-Hoon & Liu, Wenqiang & Zhang, Wenjun, 2023. "Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing," Finance Research Letters, Elsevier, vol. 58(PB).
  19. Liexin Cheng & Xue Cheng & Xianhua Peng, 2024. "Joint Calibration to SPX and VIX Derivative Markets with Composite Change of Time Models," Papers 2404.16295, arXiv.org, revised Aug 2024.
  20. Tim Leung & Hyungbin Park & Heejun Yeo, 2023. "Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs," Papers 2310.02084, arXiv.org.
  21. Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018. "Detecting money market bubbles," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
  22. Weinan Zhang & Pingping Zeng, 2023. "A transform-based method for pricing Asian options under general two-dimensional models," Quantitative Finance, Taylor & Francis Journals, vol. 23(11), pages 1677-1697, November.
  23. 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.
  24. Paolo Di Tella & Martin Haubold & Martin Keller-Ressel, 2017. "Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation," Papers 1709.05527, arXiv.org.
  25. Kim, Seong-Tae & Kim, Jeong-Hoon, 2020. "Stochastic elasticity of vol-of-vol and pricing of variance swaps," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 420-440.
  26. 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.
  27. Zhe Zhao & Zhenyu Cui & Ionuţ Florescu, 2018. "VIX derivatives valuation and estimation based on closed-form series expansions," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-18, June.
  28. Hyungbin Park & Heejun Yeo, 2022. "Dynamic and static fund separations and their stability for long-term optimal investments," Papers 2212.00391, arXiv.org, revised Mar 2023.
  29. Zhigang Tong, 2017. "Modelling VIX and VIX derivatives with reducible diffusions," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(2), pages 153-175.
  30. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A Taylor series approach to pricing and implied vol for LSV models," Papers 1308.5019, arXiv.org.
  31. 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.
  32. A. Papanicolaou, 2016. "Analysis of VIX Markets with a Time-Spread Portfolio," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(5), pages 374-408, September.
  33. Stéphane Goutte & Amine Ismail & Huyên Pham, 2017. "Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options," Working Papers hal-01212018, HAL.
  34. Wei Lin & Shenghong Li & Shane Chern & Jin E. Zhang, 2019. "Pricing VIX derivatives with free stochastic volatility model," Review of Derivatives Research, Springer, vol. 22(1), pages 41-75, April.
  35. Tim Leung & Matthew Lorig, 2016. "Optimal static quadratic hedging," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1341-1355, September.
  36. Wei Lin & Shenghong Li & Shane Chern, 2017. "Pricing VIX Derivatives With Free Stochastic Volatility Model," Papers 1703.06020, arXiv.org.
  37. Wendong Zheng & Pingping Zeng, 2016. "Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(5), pages 344-373, September.
  38. Yumo Zhang, 2021. "Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility," Risks, MDPI, vol. 9(4), pages 1-21, March.
  39. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
  40. Yan, Tingjin & Wong, Hoi Ying, 2020. "Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 105-119.
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