Volatility Derivatives for Children

SSRN Electronic Journal ◽

10.2139/ssrn.3752265 ◽

2020 ◽

Author(s):

Frido Rolloos

Keyword(s):

Volatility Derivatives

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Vix Option Pricing and Cboe Vix Term Structure: A New Methodology for Volatility Derivatives Valuation

SSRN Electronic Journal ◽

10.2139/ssrn.1460845 ◽

2009 ◽

Cited By ~ 1

Author(s):

Yueh-Neng Lin

Keyword(s):

Option Pricing ◽

Term Structure ◽

Volatility Derivatives

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On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

SIAM Journal on Financial Mathematics ◽

10.1137/19m1269981 ◽

2022 ◽

Vol 13 (1) ◽

pp. 32-69

Author(s):

Elisa Alòs ◽

David García-Lorite ◽

Aitor Muguruza Gonzalez

Keyword(s):

Volatility Derivatives

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VIX Option Pricing and CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation

SSRN Electronic Journal ◽

10.2139/ssrn.1549999 ◽

2010 ◽

Cited By ~ 1

Author(s):

Yueh-Neng Lin

Keyword(s):

Option Pricing ◽

Term Structure ◽

Volatility Derivatives

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Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes

The Journal of Computational Finance ◽

10.21314/jcf.2014.278 ◽

2014 ◽

Vol 18 (2) ◽

pp. 3-30 ◽

Cited By ~ 7

Author(s):

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Fourier Transform ◽

Additive Processes ◽

Volatility Derivatives

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FX Options and Volatility Derivatives: An Overview from the Buy-Side Perspective

Handbook of Exchange Rates ◽

10.1002/9781118445785.ch24 ◽

2012 ◽

pp. 647-696 ◽

Cited By ~ 1

Author(s):

Oleg Svirschi

Keyword(s):

Volatility Derivatives

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Volatility and Volatility Derivatives

Options for Volatile Markets ◽

10.1002/9781118531518.ch9 ◽

2012 ◽

pp. 171-204

Keyword(s):

Volatility Derivatives

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Spectral methods for volatility derivatives

Quantitative Finance ◽

10.1080/14697680902773603 ◽

2009 ◽

Vol 9 (6) ◽

pp. 663-692 ◽

Cited By ~ 17

Author(s):

Claudio Albanese ◽

Harry Lo ◽

Aleksandar Mijatović

Keyword(s):

Spectral Methods ◽

Volatility Derivatives

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Withdrawn: Yan, C, Zhao, B. (2018). A general jump‐diffusion process to price volatility derivatives. J Futures Markets, 39, 15–37. https://doi.org/10.1002/fut.21962

Journal of Futures Markets ◽

10.1002/fut.22130 ◽

2020 ◽

Keyword(s):

Diffusion Process ◽

Futures Markets ◽

Price Volatility ◽

Jump Diffusion ◽

Volatility Derivatives ◽

Jump Diffusion Process

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On the pricing and hedging of volatility derivatives

Applied Mathematical Finance ◽

10.1080/1350486042000254024 ◽

2004 ◽

Vol 11 (4) ◽

pp. 317-346 ◽

Cited By ~ 62

Author(s):

Sam Howison ◽

Avraam Rafailidis ◽

Henrik Rasmussen

Keyword(s):

Volatility Derivatives

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A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES

Mathematical Finance ◽

10.1111/j.1467-9965.2011.00492.x ◽

2011 ◽

Vol 23 (2) ◽

pp. 248-274 ◽

Cited By ~ 72

Author(s):

Rama Cont ◽

Thomas Kokholm

Keyword(s):

Pricing Model ◽

Index Options ◽

Volatility Derivatives

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