Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Reference38 articles.
1. Aït-Sahalia, Y., Karaman, M., & Mancini, L. (2015). The term structure of variance swaps and risk premia. SSRN working paper.
2. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2003). Modeling and forecasting realized volatility. Econometrica, 71(2), 579–625.
3. Badescu, A., Couch, M., Chen, Y., & Cui, Z. (2018). A unified valuation framework for variance swaps under non-affine stochastic volatility models. Working Paper.
4. Badescu, A., Cui, Z., & Ortega, J.-P. (2017). Non-affine GARCH option pricing models, variance dependent kernels, and diffusion limits. Journal of Financial Econometrics, 15(4), 602–648.
5. Benth, F. E., Groth, M., & Kufakunesu, R. (2007). Valuing volatility and variance swaps for a non-Gaussian Ornstein–Uhlenbeck stochastic volatility model. Applied Mathematical Finance, 14(4), 347–363.
Cited by
29 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献