Pricing Options on Realized Variance

SSRN Electronic Journal ◽

10.2139/ssrn.684087 ◽

2005 ◽

Cited By ~ 2

Author(s):

Peter P. Carr ◽

Hélyette Geman ◽

Dilip B. Madan ◽

Marc Yor

Keyword(s):

Realized Variance ◽

Pricing Options

Download Full-text

Pricing options on discrete realized variance with partially exact and bounded approximations

Quantitative Finance ◽

10.1080/14697688.2015.1008229 ◽

2015 ◽

Vol 15 (12) ◽

pp. 2011-2019 ◽

Cited By ~ 3

Author(s):

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Realized Variance ◽

Pricing Options

Download Full-text

Pricing options on realized variance in the Heston model with jumps in returns and volatility Part II. An approximate distribution of discrete variance

The Journal of Computational Finance ◽

10.21314/jcf.2012.240 ◽

2012 ◽

Vol 16 (2) ◽

pp. 3-32 ◽

Cited By ~ 22

Author(s):

Artur Sepp

Keyword(s):

Heston Model ◽

Realized Variance ◽

Pricing Options ◽

Approximate Distribution

Download Full-text

Pricing options on realized variance in the Heston model with jumps in returns and volatility

The Journal of Computational Finance ◽

10.21314/jcf.2008.185 ◽

2008 ◽

Vol 11 (4) ◽

pp. 33-70 ◽

Cited By ~ 108

Author(s):

Artur Sepp

Keyword(s):

Heston Model ◽

Realized Variance ◽

Pricing Options

Download Full-text

Pricing options on realized variance

Finance and Stochastics ◽

10.1007/s00780-005-0155-x ◽

2005 ◽

Vol 9 (4) ◽

pp. 453-475 ◽

Cited By ~ 94

Author(s):

Peter Carr ◽

Hélyette Geman ◽

Dilip B. Madan ◽

Marc Yor

Keyword(s):

Realized Variance ◽

Pricing Options

Download Full-text

Pricing Options on Discrete Realized Variance with Partially Exact and Bounded Approximations

SSRN Electronic Journal ◽

10.2139/ssrn.2657966 ◽

2015 ◽

Author(s):

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Realized Variance ◽

Pricing Options

Download Full-text

Proper orthogonal decomposition for pricing options

The Journal of Computational Finance ◽

10.21314/jcf.2012.246 ◽

2012 ◽

Vol 16 (1) ◽

pp. 33-46 ◽

Cited By ~ 2

Author(s):

Olivier Pironneau

Keyword(s):

Proper Orthogonal Decomposition ◽

Orthogonal Decomposition ◽

Pricing Options ◽

Proper Orthogonal

Download Full-text

Pricing Options on the Dax - An Empirical Investigation

SSRN Electronic Journal ◽

10.2139/ssrn.1149417 ◽

2006 ◽

Cited By ~ 1

Author(s):

Rene Reinsberg

Keyword(s):

Empirical Investigation ◽

Pricing Options

Download Full-text

Pricing Options Under Conservative Conditions

SSRN Electronic Journal ◽

10.2139/ssrn.2400066 ◽

2014 ◽

Author(s):

Cetin Hakimoglu

Keyword(s):

Pricing Options

Download Full-text

Spectral Methods and Pricing Options on Private Equity

SSRN Electronic Journal ◽

10.2139/ssrn.2600684 ◽

2015 ◽

Author(s):

Peter Carr ◽

Pratik Worah

Keyword(s):

Spectral Methods ◽

Private Equity ◽

Pricing Options

Download Full-text

Pricing Options on Mean Reverting Underliers

SSRN Electronic Journal ◽

10.2139/ssrn.2747131 ◽

2016 ◽

Author(s):

Dilip B. Madan

Keyword(s):

Pricing Options

Download Full-text