Robust Replication of Volatility Derivatives
By Peter P. Carr, Roger Lee. 2008
137 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/37c5aeca081697bad6637530cd73b1e764cb6f10
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In Finance
- Guang-Hua Lian
- Johannes Muhle‐Karbe
- Jan Kallsen
- Robert J. R. Elliott
- Moritz Voß
- Andrey Itkin
- Mark Broadie
- Emilia Tzagkaraki
Citations in the corpus
- Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case (2010, background): “Among multiple papers on the subject, note the following [2, 3, 4, 5].”
- The Effect of Jumps and Discrete Sampling on Volatility and Variance Swaps (2008, background): “Carr and Wu (2006) show that the square of the VIX index is an approximation of the one-month variance swap rate up to discretization error (from using a finite number of options in the VIX definition) under the assumption that the SPX index does not jump.”
- PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, background): “Next, we turn to puts on variance, which can be evaluated in semi-explicit form using the characteristic function of [X, X]T , Fubini’s theorem and the integral representation (K − x)+ = 1 2π i ∫ R+i∞ R−i∞ e−Kz z2 ezxdz = 1 π ∫ ∞ 0 Re ( e−K(R+iy) (R + iy)2 e (R+iy)x ) dy, for x ≥ 0 and any R 0 (cf”
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, background): “While the studies of Carr and Madan (1998), Demeterfi et al. (1999), and Carr and Lee (2005, 2007) are modelindependent, many early papers depend on specific stochastic volatility models, such as those of Grunbichler and Longstaff (1996), Heston and Nandi (2000), Brockhaus and Long (2000), Javaheri…”
- Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, background): “Carr and Lee (2005) and Carr and Wu (2006) have shown that this adjustment allows interpreting VXOA as the volatility swap rate under general assumptions.”