Valuation of volatility derivatives as an inverse problem
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- Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki, 2009. "Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments," CARF F-Series CARF-F-161, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Robert J. Elliott & Katsumasa Nishide & Carlton‐James U. Osakwe, 2016. "Heston‐Type Stochastic Volatility with a Markov Switching Regime," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(9), pages 902-919, September.
- Claudio Albanese & Harry Lo & Aleksandar Mijatovic, 2009. "Spectral methods for volatility derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 663-692.
- Gabriel G. Drimus, 2012. "Options on realized variance by transform methods: a non-affine stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1679-1694, November.
- Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki, 2009. "Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments," CIRJE F-Series CIRJE-F-653, CIRJE, Faculty of Economics, University of Tokyo.
- Elyas Elyasiani & Silvia Muzzioli & Alessio Ruggieri, 2016. "Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions," Department of Economics 0099, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Elisa AlÃ²s & Kenichiro Shiraya, 2017. "Estimating the Hurst parameter from short term volatility swaps," CARF F-Series CARF-F-407, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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