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Pricing methods and hedging strategies for volatility derivatives


  • Windcliff, H.
  • Forsyth, P.A.
  • Vetzal, K.R.


No abstract is available for this item.

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  • 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.
  • Handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:409-431

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    References listed on IDEAS

    1. S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
    2. Leland, Hayne E, 1985. " Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    3. Leif Andersen & Jesper Andreasen, 2000. "Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing," Review of Derivatives Research, Springer, vol. 4(3), pages 231-262, October.
    4. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    5. Steven L. Heston & Saikat Nandi, 2000. "Derivatives on volatility: some simple solutions based on observables," FRB Atlanta Working Paper 2000-20, Federal Reserve Bank of Atlanta.
    6. Sam Howison & Avraam Rafailidis & Henrik Rasmussen, 2004. "On the pricing and hedging of volatility derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(4), pages 317-346.
    7. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011. "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
    2. 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.
    3. H. A. Windcliff & P. A. Forsyth & K. R. Vetzal, 2006. "Numerical Methods and Volatility Models for Valuing Cliquet Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 353-386.
    4. 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.
    5. Wang, Xingchun & Fu, Jianping & Wang, Guanying & Wang, Yongjin, 2015. "Quadratic hedging strategies for volatility swaps," Finance Research Letters, Elsevier, vol. 15(C), pages 125-132.
    6. Nicolas Merener, 2012. "Swap rate variance swaps," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 249-261, May.
    7. Giovanni Salvi & Anatoliy V. Swishchuk, 2012. "Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities," Papers 1205.5565,
    8. Kourtis, Apostolos & Markellos, Raphael N. & Psychoyios, Dimitris, 2012. "Wine price risk management: International diversification and derivative instruments," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 30-37.
    9. Daskalakis, George & Psychoyios, Dimitris & Markellos, Raphael N., 2009. "Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1230-1241, July.
    10. Balbás, Alejandro & Blanco, Iván & Navarro, Eliseo, 2013. "Equity, commodity and interest rate volatility derivatives," INDEM - Working Paper Business Economic Series id-13-02, Instituto para el Desarrollo Empresarial (INDEM).
    11. Wing Yan Yip & Sofia Olhede & David Stephens, 2008. "Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market," Papers 0801.4941,, revised Oct 2008.
    12. Ben-zhang Yang & Jia Yue & Nan-jing Huang, 2017. "Variance swaps under L\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete market," Papers 1712.10105,, revised Jan 2018.
    13. repec:gam:jjrfmx:v:11:y:2018:i:1:p:11-:d:131575 is not listed on IDEAS
    14. Carole Bernard & Zhenyu Cui, 2013. "Prices and Asymptotics for Discrete Variance Swaps," Papers 1305.7092,
    15. repec:eee:apmaco:v:250:y:2015:i:c:p:920-933 is not listed on IDEAS
    16. repec:eee:apmaco:v:277:y:2016:i:c:p:72-81 is not listed on IDEAS
    17. repec:eee:ejores:v:262:y:2017:i:1:p:381-400 is not listed on IDEAS
    18. Yip, Wing & Stephens, David & Olhede, Sofia, 2008. "Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market," MPRA Paper 11176, University Library of Munich, Germany.
    19. 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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