On the pricing and hedging of volatility derivatives
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References listed on IDEAS
- 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.
- Jérôme B. Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford.
- Alexander Lipton, 2001. "Mathematical Methods for Foreign Exchange:A Financial Engineer's Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4694, December.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
"Variation, jumps, market frictions and high frequency data in financial econometrics,"
2005-W16, Economics Group, Nuffield College, University of Oxford.
- 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.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers 240, University of Oxford, Department of Economics.
- Piotr Pluciennik, 2010. "Forecasting Financial Processes by Using Diffusion Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 51-60.
- 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.
- 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.
- 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.
- Nicolas Merener, 2012. "Swap rate variance swaps," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 249-261, May.
- 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.
- 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.
- Carole Bernard & Zhenyu Cui, 2013. "Prices and Asymptotics for Discrete Variance Swaps," Papers 1305.7092, arXiv.org.
- 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.
- repec:eee:apmaco:v:250:y:2015:i:c:p:920-933 is not listed on IDEAS
- 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.
- repec:eee:ejores:v:262:y:2017:i:1:p:381-400 is not listed on IDEAS
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