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Hedging variance options on continuous semimartingales

Citations

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Cited by:

  1. Y. Dolinsky & H. M. Soner, 2014. "Martingale optimal transport in the Skorokhod space," Papers 1404.1516, arXiv.org, revised Feb 2015.
  2. Andrew Papanicolaou, 2021. "Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options," Papers 2101.00299, arXiv.org, revised Mar 2021.
  3. Minqiang Li & Fabio Mercurio, 2015. "Analytic Approximation of Finite‐Maturity Timer Option Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(3), pages 245-273, March.
  4. DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016. "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, vol. 163(C), pages 410-434.
  5. Li, Minqiang & Mercurio, Fabio, 2013. "Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models," MPRA Paper 47465, University Library of Munich, Germany.
  6. Yan Dolinsky & H. Soner, 2014. "Robust hedging with proportional transaction costs," Finance and Stochastics, Springer, vol. 18(2), pages 327-347, April.
  7. Julien Guyon & Romain Menegaux & Marcel Nutz, 2017. "Bounds for VIX futures given S&P 500 smiles," Finance and Stochastics, Springer, vol. 21(3), pages 593-630, July.
  8. Florian Stebegg, 2014. "Model-Independent Pricing of Asian Options via Optimal Martingale Transport," Papers 1412.1429, arXiv.org.
  9. Julien Guyon & Romain Menegaux & Marcel Nutz, 2016. "Bounds for VIX Futures given S&P 500 Smiles," Papers 1609.05832, arXiv.org, revised Jun 2017.
  10. Alexander M. G. Cox & Jiajie Wang, 2013. "Optimal robust bounds for variance options," Papers 1308.4363, arXiv.org.
  11. Yan Dolinsky & H. Mete Soner, 2013. "Robust Hedging with Proportional Transaction Costs," Papers 1302.0590, arXiv.org, revised Aug 2013.
  12. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model uncertainty, recalibration, and the emergence of delta–vega hedging," Finance and Stochastics, Springer, vol. 21(4), pages 873-930, October.
  13. Lian, Guanghua & Chiarella, Carl & Kalev, Petko S., 2014. "Volatility swaps and volatility options on discretely sampled realized variance," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 239-262.
  14. Mathias Beiglböck & Pierre Henry-Labordère & Friedrich Penkner, 2013. "Model-independent bounds for option prices—a mass transport approach," Finance and Stochastics, Springer, vol. 17(3), pages 477-501, July.
  15. Beatrice Acciaio & Alexander M. G. Cox & Martin Huesmann, 2016. "Model-independent pricing with insider information: a Skorokhod embedding approach," Papers 1610.09124, arXiv.org, revised Jun 2020.
  16. Erhan Bayraktar & Thomas Bernhardt, 2020. "On the Continuity of the Root Barrier," Papers 2010.14695, arXiv.org, revised Jul 2021.
  17. David Hobson & Anthony Neuberger, 2017. "Model uncertainty and the pricing of American options," Finance and Stochastics, Springer, vol. 21(1), pages 285-329, January.
  18. Dolinsky, Yan & Soner, H. Mete, 2015. "Martingale optimal transport in the Skorokhod space," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3893-3931.
  19. Huy N. Chau & Masaaki Fukasawa & Miklós Rásonyi, 2022. "Super‐replication with transaction costs under model uncertainty for continuous processes," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1066-1085, October.
  20. David Hobson & Anthony Neuberger, 2016. "On the value of being American," Papers 1604.02269, arXiv.org.
  21. J. Frederic Bonnans & Xiaolu Tan, 2013. "A model-free no-arbitrage price bound for variance options," Post-Print inria-00634387, HAL.
  22. Tigran Atoyan, 2018. "Model-free trading and hedging with continuous price paths," Papers 1809.00149, arXiv.org, revised Oct 2018.
  23. Ha, Mijin & Kim, Donghyun & Yoon, Ji-Hun, 2024. "Valuing of timer path-dependent options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 208-227.
  24. David Hobson & Dominykas Norgilas, 2017. "Robust bounds for the American Put," Papers 1711.06466, arXiv.org, revised May 2018.
  25. Huy N. Chau & Masaaki Fukasawa & Miklos Rasonyi, 2021. "Super-replication with transaction costs under model uncertainty for continuous processes," Papers 2102.02298, arXiv.org.
  26. Chenxu Li, 2016. "Bessel Processes, Stochastic Volatility, And Timer Options," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 122-148, January.
  27. Dan Pirjol & Xiaoyu Wang & Lingjiong Zhu, 2024. "Short-maturity options on realized variance in local-stochastic volatility models," Papers 2411.02520, arXiv.org.
  28. Ma, Jingtang & Deng, Dongya & Lai, Yongzeng, 2015. "Explicit approximate analytic formulas for timer option pricing with stochastic interest rates," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 1-21.
  29. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
  30. A. Papanicolaou, 2016. "Analysis of VIX Markets with a Time-Spread Portfolio," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(5), pages 374-408, September.
  31. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Papers 1704.04524, arXiv.org.
  32. Christopher W. Miller, 2016. "A Duality Result for Robust Optimization with Expectation Constraints," Papers 1610.01227, arXiv.org.
  33. Alexander M. G. Cox & Annemarie M. Grass, 2023. "Robust option pricing with volatility term structure -- An empirical study for variance options," Papers 2312.09201, arXiv.org.
  34. Anqi Zou & Jiajie Wang & Chiye Wu, 2023. "Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case," Mathematics, MDPI, vol. 11(12), pages 1-30, June.
  35. David Hobson & Dominykas Norgilas, 2019. "Robust bounds for the American put," Finance and Stochastics, Springer, vol. 23(2), pages 359-395, April.
  36. Hansjörg Albrecher & Philipp Mayer, 2010. "Semi-Static Hedging Strategies For Exotic Options," World Scientific Book Chapters, in: Rüdiger Kiesel & Matthias Scherer & Rudi Zagst (ed.), Alternative Investments And Strategies, chapter 14, pages 345-373, World Scientific Publishing Co. Pte. Ltd..
  37. Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020. "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, vol. 219(2), pages 204-230.
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