Variance swaps with mean reversion and multi-factor variance-Reference-Cited by-同舟云学术

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Variance swaps with mean reversion and multi-factor variance

Published:2023-12 Issue: Volume: Page:
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Wu Bin^ORCID,Chen Pengzhan,Ye Wuyi^ORCID

Funder

National Natural Science Foundation of China

China Postdoctoral Science Foundation

Natural Science Foundation of Anhui Province

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference58 articles.

1. Modeling financial contagion using mutually exciting jump processes;Aït-Sahalia;Journal of Financial Economics,2015

2. The term structure of equity and variance risk premia;Aït-Sahalia;Journal of Econometrics,2020

3. Resolution of policy uncertainty and sudden declines in volatility;Amengual;Journal of Econometrics,2018

4. Parametric inference and dynamic state recovery from option panels;Andersen;Econometrica,2015

5. The risk premia embedded in index options;Andersen;Journal of Financial Economics,2015

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