Valuation of volatility derivatives as an inverse problem

Quantitative Finance

Volumn 5, Issue 6, 2005, Pages 531-542

  Friz, Peter ^a   Gatheral, Jim ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33644895468     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1080/14697680500362452     Document Type: Review

References (11)

1. Bakshi, G., Cao, C. and Chen, Z., Empirical performance of alternative option pricing models. J. Finance, 1997, 52, 2003-2049.
2. Carr, P. and Lee, R.W., Robust replication of volatility derivatives. Discussion Paper, 2005 (Bloomberg LP and University of Chicago).
3. Carr, P. and Madan, D., Towards a theory of volatility trading. In Volatility: New Estimation Techniques for Pricing Derivatives, edited by R.A. Jarrow, chap. 29, pp. 417-427, 1998 (Risk Books: London).
4. Cont, R. and da Fonseca, J., Dynamics of implied volatility surfaces. Quant. Finance, 2002, 2, 45-60.
5. Cox, J.C., Ingersoll. J.E. and Ross, S.A., A theory of the term structure of interest rates. Econometrica, 1985, 53, 385-407.
6. Gatheral, J., 2004, Case studies in financial modeling lecture notes. Available online at: http://www.math.nyu.edu/fellows_fin_math/gatheral/ case_studies.html.
7. Gradshteyn, I.S. and Ryzhik, I.M., Table of Integrals, Series and Products, 1980 (Academic Press: New York).
8. Heston, S.L., A closed-form solution for options with stochastic volatility, with application to bond and currency options. Rev. Financ. Stud., 1993, 6, 327-343.
9. Hull, J. and White. A., The pricing of options with stochastic volatilities. J. Finance, 1987, 19, 281-300.
10. Monk, P., Basic theory of linear ill-posed problems. Available online at: http://www.inria.fr/actualites/colloques/2003/pnla/monk1.pdf.
11. Schwartz, L., Étude des sommes d'exponentielles. 1959 (Hermann: Paris).