Derivatives on Volatility: Some Simple Solutions Based on Observables Working Paper

By Steven Heston, Sukumar Nandi. 2000

66 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/d2dbdfa9b5957efb5f78657c6aded9da1bcbe57b

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. Robert J. R. Elliott
2. Guang-Hua Lian
3. Tak Kuen Siu
4. Song‐Ping Zhu
5. Leunglung Chan
6. Sam D. Howison
7. Kenneth R. Vetzal
8. Peter A. Forsyth

In Finance

1. Guang-Hua Lian
2. Robert J. R. Elliott
3. Peter A. Forsyth
4. Tak Kuen Siu
5. Kenneth R. Vetzal
6. Song‐Ping Zhu
7. Leunglung Chan
8. H. Windcliff

Citations in the corpus

• A jump diffusion model for VIX volatility options and futures (2010, methodology): “Heston and Nandi (2000a) derived analytical solutions in both discrete and continuous time for pricing European options written on variance.”
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007, background): “Heston and Nandi (2000) discussed the valuation of options and swaps on variance and volatility in the context of discrete-time GARCH models.”
• GARCH and volatility swaps (2004, background): “As a ‘warm up’ to the valuation side we can suggest several papers: Carr and Madan (1998), Demeterifi et al (1999), Heston and Nandi (2000) and Brockhaus and Long (2000).”
• Pricing methods and hedging strategies for volatility derivatives (2006, background): “The analysis of variance is inherently easier than the analysis of volatility and consequently a lot of work in this area [4, 7, 5, 11] has focused on variance products.”
• A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2010, methodology): “Heston (2000) derived an analytical solution for both variance and volatility swaps based on the GARCH volatility process.”
• 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.”
• On the pricing and hedging of volatility derivatives (2004, background): “As a result, a number of recent papers [2, 5, 6, 9] address the evaluation of volatility products.”