GARCH and volatility swaps
By A. Javaheri, P. Wilmott, E. Haug. 2004
85 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/be36bc8a7aecb6bebca4379e73ec79a29e84d372
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Guang-Hua Lian
- Peter A. Forsyth
- Song‐Ping Zhu
- Kenneth R. Vetzal
- Tak Kuen Siu
- Robert J. R. Elliott
- Leunglung Chan
- H. Windcliff
In Finance
- Guang-Hua Lian
- Robert J. R. Elliott
- Song‐Ping Zhu
- Peter A. Forsyth
- Kenneth R. Vetzal
- Tak Kuen Siu
- Leunglung Chan
- H. Windcliff
Citations in the corpus
- The Effect of Jumps and Discrete Sampling on Volatility and Variance Swaps (2008, background): “swaps. Javaheri, Wilmott and Haug (2002) discussed the valuation of volatility swaps in the”
- A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2010, background): “Javaheri, Wilmott, and Haug (2004) also discussed the valuation and calibration for variance swaps based on the GARCH(1,1) stochastic volatility model.”
- 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.”
- 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].”
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007, background): “( 2002 ) developed a partial differential equation approach for pricing volatility swaps under a continuous‐time version of the GARCH(1, 1) model.”
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, background): “…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 et al. (2004), Howison et al. (2004), Swishchuk (2004), Sepp (2008), etc.”