On the pricing and hedging of volatility derivatives

By Sam D. Howison, Avraam Rafailidis, H. Rasmussen. 2004

138 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b06a5f75eb9f5f4688752f496c54ace35d3bf233

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Citations in the corpus

Power and Multipower Variation: inference for high frequency data (2006, background): “volatility is not only useful as a measure for the level of volatility, but also explicitly needed for pricing variance and volatility swaps, cf. Howison et al. [ 17 ].”
VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (2007, unknown): “To trade views on volatility, or to manage variance risk [4, 6, 18, 21, 22], it is important for investors to trade volatility directly.”
Estimating quadratic variation using realized variance (2002, background): “Leading references in this regard include Hull and White (1987), Heston (1993) and Renault (1997).”
Matched Asymptotic Expansions in Financial Engineering (2005, background): “Our analysis parallels that of [17] who analysed products whose payoff depends on some measure of the realised volatility and who also analysed the boundary layer, although they did not construct as many terms as are needed for the accuracy we now achieve.”
Root's barrier: Construction, optimality and applications to variance options. (2011, background): “(2004), Broadie and Jain (2008) and Kallsen et al. (2010). Other work (Keller-Ressel and Muhle-Karbe, 2010, Keller-Ressel, 2011) has considered the differences between the theoretical payoff (〈lnS〉T ) and the discrete approximation which is usually specified in the contract ( ∑ k ln(S(k+1)δ/Skδ) (2)”
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics (2001, unknown): “See, for example, the literature on volatility and variance swaps, which are derivatives written on realised volatility or variance, which includes Demeterfi, Derman, Kamal, and Zou (1999), Howison, Rafailidis, and Rasmussen (2000) and Chriss and Morokoff (1999).”
A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (2009, methodology): “Broadie and Jain [8] studied the valuation of volatility derivatives in the Heston model; Carr et al.”
Measuring the impact of jumps in multivariate price processes using bipower covariation (2004, background): “Brockhaus and Long (1999), Javaheri, Wilmott, and Haug (2002), Howison, Rafailidis, and Rasmussen (2004) , Carr, Geman, Madan, and Yor (2005), Carr and Lee (2003).”
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007, methodology): “Here, following Howison et al. (2004), we adopt Vega hedging for a variance swap and a volatility swap since it can provide a convenient way to hedge these products under the regime-switching Heston’s SV model.”
Options on realized variance by transform methods: a non-affine stochastic volatility model (2009, methodology): “As shown by Broadie and Jain (2008a), one can derive that the correct amount of delta, for a variance call of strike K, is given by DVS 1⁄4 ð@=@v0ÞCðK Þ ð@=@v0ÞCð0Þ , where v0 is the current value of the short variance process and Cð0Þ 1⁄4 Eðð1=T Þ R T 0 vt dtÞ is the current fair variance swap rate”
Pricing methods and hedging strategies for volatility derivatives (2006, background): “be argued that it would also be useful to consider a stochastic volatility model as in [12, 13, 11].”
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.”
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, methodology): “Howison et al. (2004) termed a volatility swap contract using this yhttp://cfe.cboe.com/Products/Spec_VT.aspx zhttp://www.euronext.com/fic/000/010/990/109901.ppt measurement to calculate realized volatility as a standard derivation swap.”
Variation, jumps, market frictions and high frequency data in financial econometrics (2005, unknown): “For example, Brockhaus and Long (1999) employs the Heston (1993) SV model, Javaheri, Wilmott, and Haug (2002) GARCH diffusion, while Howison, Rafailidis, and Rasmussen (2004) study log-Gaussian OU processes.”