Pricing and Hedging Volatility Derivatives

By Mark Broadie, Ashish Jain. 2008

74 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/53c215ba549d202771dd0edfd30b4f2f3e024843

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Mark Broadie
2. Christian Kahl
3. Martino Grasselli

In Finance

1. Mark Broadie
2. Ashish Jain
3. Guang-Hua Lian
4. Song‐Ping Zhu
5. Gabriel G. Drimus
6. Robert J. R. Elliott
7. Martino Grasselli
8. Christian Kahl

Citations in the corpus

• The Effect of Jumps and Discrete Sampling on Volatility and Variance Swaps (2008, background): “Broadie and Jain (2008) present an alternative partial differential equation approach to compute the same quantities, as well as to price variance options.”