Volume 14; Issue 2

Finance and Stochastics

Volume 14; Issue 2
1

Can the implied volatility surface move by parallel shifts?

L. C. G. Rogers, M. R. Tehranchi
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 361 KB
english, 2010
2

Central limit theorem for the realized volatility based on tick time sampling

Masaaki Fukasawa
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 586 KB
english, 2010
3

Risk-neutral compatibility with option prices

Jean Jacod, Philip Protter
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 684 KB
english, 2010
4

Hedging variance options on continuous semimartingales

Peter Carr, Roger Lee
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 644 KB
english, 2010
5

From implied to spot volatilities

Valdo Durrleman
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 517 KB
english, 2010
6

Zero-intelligence realized variance estimation

Jim Gatheral, Roel C. A. Oomen
Journal:
Finance and Stochastics
Year:
2010
Language:
english
File:
PDF, 800 KB
english, 2010