Valuing futures and options on volatility
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 20 (1996)
Issue (Month): 6 (July)
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Web page: http://www.elsevier.com/locate/jbf
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- George Skiadopoulos & Dimitris Psychoyios, 2006. "Implied Volatility Process: Evidence from the Volatility Derivatives Markets," Working Papers wpn06-17, Warwick Business School, Finance Group.
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"Is implied correlation worth calculating? Evidence from foreign exchange options and historical data,"
9730, Federal Reserve Bank of New York.
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- Steven L. Heston & Saikat Nandi, 2000. "Derivatives on volatility: some simple solutions based on observables," Working Paper 2000-20, Federal Reserve Bank of Atlanta.
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- Li, Minqiang, 2013. "An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 128-139.
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- Dimitris Psychoyios & George Dotsis & Raphael Markellos, 2010. "A jump diffusion model for VIX volatility options and futures," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 245-269, October.
- 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.
- Wagner, Niklas & Szimayer, Alexander, 2004. "Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany," Research in International Business and Finance, Elsevier, vol. 18(3), pages 237-251, September.
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