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Quadratic variation, models, applications and lessons

https://doi.org/10.3934/fmf.2021007

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s00780-005-0155-xopenalex-snapshot

Pricing options on realized variance

inferredcites →https://doi.org/10.1007/s00780-009-0110-3openalex-snapshot

Hedging variance options on continuous semimartingales

inferredcites →https://doi.org/10.1007/s00780-011-0157-9openalex-snapshot

Variance swaps on time-changed Lévy processes

inferredcites →https://doi.org/10.1007/s10955-019-02475-1openalex-snapshot

On Fractional Lévy Processes: Tempering, Sample Path Properties and Stochastic Integration

inferredcites →https://doi.org/10.1007/s780-002-8401-3openalex-snapshot

Stochastic volatility, jumps and hidden time changes

inferredcites →https://doi.org/10.1016/j.frl.2020.101665openalex-snapshot

The Structure of Financial Returns

inferredcites →https://doi.org/10.1017/cbo9780511569708.013openalex-snapshot

Towards a Theory of Volatility Trading

inferredcites →https://doi.org/10.1086/338705openalex-snapshot

The Fine Structure of Asset Returns: An Empirical Investigation

inferredcites →https://doi.org/10.1093/rfs/hhn038openalex-snapshot

Variance Risk Premiums

inferredcites →https://doi.org/10.1111/1467-9965.00108openalex-snapshot

Time Changes for Lévy Processes

inferredcites →https://doi.org/10.1111/j.1467-9965.2007.00293.xopenalex-snapshot

SELF‐DECOMPOSABILITY AND OPTION PRICING

inferredcites →https://doi.org/10.1111/mafi.12021openalex-snapshot

ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

inferredcites →https://doi.org/10.1111/mafi.12269openalex-snapshot

Self‐similarity in long‐horizon returns

inferredcites →https://doi.org/10.1111/mafi.12327openalex-snapshot

Robust replication of volatility and hybrid derivatives on jump diffusions

inferredcites →https://doi.org/10.1142/s0219024900000541openalex-snapshot

OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

inferredcites →https://doi.org/10.1142/s0219024908005032openalex-snapshot

THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS

inferredcites →https://doi.org/10.1142/s0219024917500510openalex-snapshot

MEASURING AND MONITORING THE EFFICIENCY OF MARKETS

inferredcites →https://doi.org/10.1142/s2424786317500451openalex-snapshot

Asymmetries in financial returns

inferredcites →https://doi.org/10.21314/jcf.2008.181openalex-snapshot

Representing the CGMY and Meixner Lévy processes as time changed Brownian motions

inferredcites →https://doi.org/10.21314/jcf.2014.278openalex-snapshot

Fourier Transform Algorithms for Pricing and Hedging Discretely Sampled Exotic Variance Products and Volatility Derivatives under Additive Processes

inferredcites →https://doi.org/10.2139/ssrn.3654563openalex-snapshot

Option Implied VIX, Skew and Kurtosis Term Structure Indices

inferredcites →https://doi.org/10.2139/ssrn.3768817openalex-snapshot

Option Surface Econometrics with Applications

inferredcites →https://doi.org/10.3390/jrfm12020069openalex-snapshot

Arbitrage Free Approximations to Candidate Volatility Surface Quotations

inferredcites →https://doi.org/10.3390/jrfm14080355openalex-snapshot

Pricing Product Options and Using Them to Complete Markets for Functions of Two Underlying Asset Prices

inferredcites →https://doi.org/10.3905/jod.1999.319129openalex-snapshot

A Guide to Volatility and Variance Swaps

inferredcites →https://doi.org/10.3905/jod.2006.616865openalex-snapshot

A Tale of Two Indices

inferredcites →https://doi.org/10.3905/jod.2021.1.132openalex-snapshot

Pricing and Hedging Options on Assets with Options on Related Assets

inferredcites →https://doi.org/10.3905/jpm.1994.409478openalex-snapshot

The Log Contract

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4645694openalex-extracted

Unmasking stochastic volatility in discontinuous continuity approximations and extracting VIX optionality directly from SPX implied volatilities.

inferred← citeshttps://doi.org/10.1016/j.bir.2024.04.004openalex-snapshot

On the quadratic variation in limit order markets

inferred← citeshttps://doi.org/10.1142/s0219024922500248openalex-snapshot

OPTION SURFACE STATISTICS WITH APPLICATIONS

inferred← citeshttps://doi.org/10.3934/fmf.2024010openalex-snapshot

Unmasking stochastic volatility in discontinuous continuity approximations and extracting $ VIX $ optionality directly from $ SPX $ implied volatilities

inferred← citeshttps://doi.org/10.3934/fmf.2024013openalex-snapshot

The bilateral Gamma motion: Calibration and option pricing

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