Volatility models for cryptocurrencies and applications in the options market

Journal of International Financial Markets Institutions and Money ◽

10.1016/j.intfin.2021.101421 ◽

2021 ◽

Vol 75 ◽

pp. 101421

Author(s):

Yeguang Chi ◽

Wenyan Hao

Keyword(s):

Options Market ◽

Volatility Models

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Intrinsic Liquidity in Conditional Volatility Models

Annals of Economics and Statistics ◽

10.15609/annaeconstat2009.123-124.0225 ◽

2016 ◽

pp. 225

Author(s):

Serge Darolles ◽

Gaëlle Le Fol ◽

Christian Francq ◽

Jean-Michel Zakoïan

Keyword(s):

Conditional Volatility ◽

Volatility Models

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The Change of Liquidity Premium Caused by a New Multiplier Regulation in the KOSPI200 Index Options Market

Korean Journal of Financial Studies ◽

10.26845/kjfs.2017.12.46.5.1001 ◽

2017 ◽

Vol 46 (5) ◽

pp. 1001-1032

Author(s):

Dowan Kim ◽

Baeho Kim

Keyword(s):

Options Market ◽

Liquidity Premium ◽

Index Options

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Time transformations, intraday data, and volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2001.071 ◽

2000 ◽

Vol 4 (2) ◽

pp. 31-62 ◽

Cited By ~ 43

Author(s):

Pierre Giot

Keyword(s):

Volatility Models ◽

Intraday Data ◽

Time Transformations

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The optimal investment problem in stochastic and local volatility models

The Journal of Investment Strategies ◽

10.21314/jois.2018.104 ◽

2018 ◽

Author(s):

Vladimir V. Piterbarg

Keyword(s):

Optimal Investment ◽

Local Volatility ◽

Investment Problem ◽

Volatility Models ◽

Optimal Investment Problem

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An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Cited By ~ 1

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Cited By ~ 6

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Treasury Futures Trading and Differences of Opinion: A Note on Volume-Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1092643 ◽

2008 ◽

Author(s):

Wenchao Liao

Keyword(s):

Futures Trading ◽

Volatility Models ◽

Differences Of Opinion ◽

Treasury Futures

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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Cited By ~ 1

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

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Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1687998 ◽

2010 ◽

Cited By ~ 2

Author(s):

Viktor Todorov ◽

George E. Tauchen ◽

Iaryna Grynkiv

Keyword(s):

Laplace Transforms ◽

Volatility Models

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Explicit Density Approximations for Local Volatility Models Using Heat Kernel Expansions

SSRN Electronic Journal ◽

10.2139/ssrn.1800415 ◽

2011 ◽

Cited By ~ 1

Author(s):

Stephen Michael Taylor

Keyword(s):

Heat Kernel ◽

Local Volatility ◽

Volatility Models

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