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Volatility and volatility-linked derivatives: estimation, modeling, and pricing

Author

Listed:
  • Elisa Alòs

    (Universitat Pompeu Fabra and Barcelona Graduate School of Economics)

  • Maria Elvira Mancino

    (Università degli Studi di Firenze)

  • Tai-Ho Wang

    (The City University of New York)

Abstract

This article serves the purpose of reviewing recent developments of the estimation and modeling of volatilities for financial products as well as on the pricing and hedging of financial derivatives that are related to volatility under certain models. It also provides a reading guide for the contributed papers. Emphases are put on continuous processes in continuous time. Discrete time models and models with jumps are not included in the discussion. Presentation of the article is more intuitive and heuristic rather than mathematically sound and rigorous in nature.

Suggested Citation

  • Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang, 2019. "Volatility and volatility-linked derivatives: estimation, modeling, and pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 321-349, December.
    • Handle: RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00271-w
    DOI: 10.1007/s10203-019-00271-w
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    References listed on IDEAS

    as
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    25. Luca De Gennaro Aquino & Carole Bernard, 2019. "Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 715-741, December.
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    Cited by:

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    2. Marc Mukendi Mpanda, 2022. "Malliavin differentiability of fractional Heston-type model and applications to option pricing," Papers 2207.10709, arXiv.org, revised Aug 2022.
    3. Nikolaos A. Kyriazis, 2021. "Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 845-861, December.

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    More about this item

    Keywords

    Volatility; Estimation; Modeling; Volatility derivatives; Pricing;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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