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Variance-optimal hedging for target volatility options
1. | School of Mathematical Sciences, Nankai University, Tianjin 300071, China |
2. | School of Business, Nankai University, Tianjin 300071, China |
References:
[1] |
P. Carr, R. Lee and L. Wu, Variance swaps on time-changed Lévy processes,, Finance and Stochastics, 16 (2012), 335.
doi: 10.1007/s00780-011-0157-9. |
[2] |
G. Di Graziano and L. Torricelli, Target Volatility Option Pricing,, International Journal of Theoretical and Applied Finance, 15 (2012), 1250005.
doi: 10.1142/S0219024911006474. |
[3] |
R. Elloitt, T. Siu and L. Chan, Pricing volatility swaps under Heston's stochastic volatility model with regime switching,, Applied Mathematical Finance, 14 (2007), 41.
doi: 10.1080/13504860600659222. |
[4] |
R. Engle, Risk and Volatility: Econometric models and financial practice,, American Economic Review, 94 (2004), 405.
doi: 10.1257/0002828041464597. |
[5] |
H. Föllmer and M. Schweizer, Hedging of contingent claims under incomplete information,, in, (1991), 389.
|
[6] |
J. Fu, X. Wang and Y. Wang, Variance-optimal hedging for volatility swaps,, preprint, (2012). Google Scholar |
[7] |
S. Howison, A. Rafailidis and H. Rasmussen, On the pricing and hedging of volatility derivatives,, Applied Mathematical Finance, 11 (2004), 317.
doi: 10.1080/1350486042000254024. |
[8] |
F. Hubalek, J. Kallsen and L. Karwczyk, Variance-optimal hedging for processes with stationary independent increments,, Annals of Applied Probability, 16 (2006), 853.
doi: 10.1214/105051606000000178. |
[9] |
P. Protter, "Stochastic Integration and Differential Equations,", Second edition. Applications of Mathematics (New York), (2004).
|
[10] |
K. Sato, "Lévy Processes and Infinitely Divisible Distributions,", Cambridge University Press, (2001). Google Scholar |
[11] |
D. Schweizer, Approximating random variables by stochastic integrals,, Annals of Probability, 22 (1994), 1536.
doi: 10.1214/aop/1176988611. |
[12] |
D. Schweizer, Variance-optimal hedging in discrete time,, Mathematics of Operations Research, 20 (1995), 1.
doi: 10.1287/moor.20.1.1. |
[13] |
S. Song, X. Wang and Y. Wang, Pricing volatility derivatives with jump underlying and stochastic volatility,, preprint, (2011). Google Scholar |
[14] |
S. Zhu and G. Lian, A closed-form exact solution for pricing variance swaps with stochastic volatility,, Mathematical Finance, 21 (2011), 233.
doi: 10.1111/j.1467-9965.2010.00436.x. |
show all references
References:
[1] |
P. Carr, R. Lee and L. Wu, Variance swaps on time-changed Lévy processes,, Finance and Stochastics, 16 (2012), 335.
doi: 10.1007/s00780-011-0157-9. |
[2] |
G. Di Graziano and L. Torricelli, Target Volatility Option Pricing,, International Journal of Theoretical and Applied Finance, 15 (2012), 1250005.
doi: 10.1142/S0219024911006474. |
[3] |
R. Elloitt, T. Siu and L. Chan, Pricing volatility swaps under Heston's stochastic volatility model with regime switching,, Applied Mathematical Finance, 14 (2007), 41.
doi: 10.1080/13504860600659222. |
[4] |
R. Engle, Risk and Volatility: Econometric models and financial practice,, American Economic Review, 94 (2004), 405.
doi: 10.1257/0002828041464597. |
[5] |
H. Föllmer and M. Schweizer, Hedging of contingent claims under incomplete information,, in, (1991), 389.
|
[6] |
J. Fu, X. Wang and Y. Wang, Variance-optimal hedging for volatility swaps,, preprint, (2012). Google Scholar |
[7] |
S. Howison, A. Rafailidis and H. Rasmussen, On the pricing and hedging of volatility derivatives,, Applied Mathematical Finance, 11 (2004), 317.
doi: 10.1080/1350486042000254024. |
[8] |
F. Hubalek, J. Kallsen and L. Karwczyk, Variance-optimal hedging for processes with stationary independent increments,, Annals of Applied Probability, 16 (2006), 853.
doi: 10.1214/105051606000000178. |
[9] |
P. Protter, "Stochastic Integration and Differential Equations,", Second edition. Applications of Mathematics (New York), (2004).
|
[10] |
K. Sato, "Lévy Processes and Infinitely Divisible Distributions,", Cambridge University Press, (2001). Google Scholar |
[11] |
D. Schweizer, Approximating random variables by stochastic integrals,, Annals of Probability, 22 (1994), 1536.
doi: 10.1214/aop/1176988611. |
[12] |
D. Schweizer, Variance-optimal hedging in discrete time,, Mathematics of Operations Research, 20 (1995), 1.
doi: 10.1287/moor.20.1.1. |
[13] |
S. Song, X. Wang and Y. Wang, Pricing volatility derivatives with jump underlying and stochastic volatility,, preprint, (2011). Google Scholar |
[14] |
S. Zhu and G. Lian, A closed-form exact solution for pricing variance swaps with stochastic volatility,, Mathematical Finance, 21 (2011), 233.
doi: 10.1111/j.1467-9965.2010.00436.x. |
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