Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
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- 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.
- Fred Espen Benth & Martin Groth & Rodwell Kufakunesu, 2007. "Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 347-363.
- 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.
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- Joost Driessen & Pascal J. Maenhout & Grigory Vilkov, 2009. "The Price of Correlation Risk: Evidence from Equity Options," Journal of Finance, American Finance Association, vol. 64(3), pages 1377-1406, June.
- repec:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006784 is not listed on IDEAS
- Peter Carr & Hélyette Geman & Dilip Madan & Marc Yor, 2005. "Pricing options on realized variance," Finance and Stochastics, Springer, vol. 9(4), pages 453-475, October.
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- Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660, December.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-MST-2012-06-05 (Market Microstructure)
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