Spectral methods for volatility derivatives
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References listed on IDEAS
- Peter Friz & Jim Gatheral, 2005. "Valuation of volatility derivatives as an inverse problem," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 531-542.
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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- Albanese, Claudio, 2006. "Operator Methods, Abelian Processes And Dynamic Conditioning," MPRA Paper 5246, University Library of Munich, Germany, revised 06 Nov 2007.
- Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E., 2012. "A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 708-715.
- F. Antonelli & A. Ramponi & S. Scarlatti, 2016. "Random Time Forward-Starting Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-25, December.
- Nicolas Merener, 2012. "Swap rate variance swaps," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 249-261, May.
- Albanese, Claudio, 2007. "Callable Swaps, Snowballs And Videogames," MPRA Paper 5229, University Library of Munich, Germany, revised 01 Oct 2007.
- 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.
- Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2015. "Random Time Forward Starting Options," Papers 1504.03552, arXiv.org.
More about this item
KeywordsVolatility modelling; Volatility smile fitting; Volatility surfaces; Stochastic volatility Quantitative finance;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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