Pricing methods and hedging strategies for volatility derivatives

By H. Windcliff, Peter A. Forsyth, Kenneth R. Vetzal. 2006

80 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/5b6ba682b062fe32e0e27c40e5374662226f1955

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In Demography

1. Guang-Hua Lian
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Citations in the corpus

• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007, unknown): “For a comprehensive overview of various hedging strategies, see Demeterfi et al. (1999), Howison et al. (2004) and Windcliff et al. (2003).”
• CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (2011, background): “Windcliff, Forsyth, and Vetzal (2006) improve the pricing algorithm for the discretely sampled volatility derivatives by allowing jumps in the asset price process.”
• Modeling CO2 Emission Allowance Prices and Derivatives: Evidence from the European Trading Scheme (2009, unknown): “Models (3) and (4) have been widely used in the interest rate and volatility modeling literature (see, for example, Detemple and Osakwe, 2000; Pan, 2002; Brenner at al., 2006; Windcliff et al., 2006).”
• Prices and Asymptotics for Discrete Variance Swaps (2013, unknown): “Notes 1See, for example, Howison, Rafailidis, and Rasmussenn (2004), Windcliff, Forsyth, and Vetzal (2006), Benth, Groth, and Kufakunesu (2007) and Broadie and Jain (2008b).”
• About the Pricing Equations in Finance (2011, background): “[87, 86] for illustrations in the cases of cliquet options and volatility and variance swaps, respectively.”
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, methodology): “For more details about variance swaps and variance futures, the reader is referred to the web sites of the CBOEy or NYSE Euronext.z Following Windcliff et al. (2006), the definitions of RVd1varð0,N,TeÞ and RVd2varð0,N,TeÞ are referred to as the actual-return realized variance and the log-return real”