PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS

By Jan Kallsen, Johannes Muhle‐Karbe, Moritz Voß. 2010

47 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c6f3755da0d6c38564422731d74885644dc88fb6

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

1. Jiajie Wang
2. Alexander M. G. Cox

In Finance

1. Jiajie Wang
2. Alexander M. G. Cox
3. H. M. Soner
4. Yan Dolinsky

Citations in the corpus

• Root's barrier: Construction, optimality and applications to variance options. (2011, background): “(1.2) More recently, work on options and swaps on volatility and variance, (in a model-based setting) includes Howison, Rafailidis and Rasmussen [20], Broadie and Jain [3] and Kallsen, Muhle-Karbe and Voss [21].”
• Pricing VIX options with stochastic volatility and random jumps (2011, unknown): “Some other typical recent papers about the VIX and its derivatives (futures and options) include Kallsen et al. (2010); Zhang et al. (2010); Zhang and Huang (2010); Lu and Zhu (2009); Carr and Lee (2009); Zhu and Lian (2011a,b); Chung et al. (2011).”