Volatility derivatives in the Heston framework
Sensitivity to Skew and Convexity
CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS - Zheng - 2014 - Mathematical Finance - Wiley Online Library
Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance | SpringerLink
Pricing Options on Realized Variance in Heston Model with Jumps in Returns and Volatility 1 Introduction
Convexity
Pricing Discretely Sampled Variance Swaps with Cap/Floor Under Heston Stochastic Volatility Model - Stoykov - 2021 - Wilmott - Wiley Online Library
Mathematics | Free Full-Text | A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate
Capped Variance Swaps | FINCAD
Full article: Arithmetic variance swaps
3: Futures Price Capped and Floored( = 1; 4 = 0:5). | Download Scientific Diagram
Variance swap | The Financial Engineer
The CTMC–Heston model: calibration and exotic option pricing with SWIFT - Journal of Computational Finance
(BNP Paribas) Volatility Investing Handbook | PDF
Closed Form Pricing Formulas for Discretely Sampled Generalized Variance Swaps
Mathematics | Free Full-Text | A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate
PDF) Hybrid Equity Swap and Cap Pricing Under Stochastic Interest by Markov Chain Approximation
A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model | SpringerLink
Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives unde
BNP Paribas) Volatility Investing Handbook | PDF
Pricing Options on Realized Variance in Heston Model with Jumps in Returns and Volatility 1 Introduction
The CTMC–Heston model: calibration and exotic option pricing with SWIFT - Journal of Computational Finance
CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS - Zheng - 2014 - Mathematical Finance - Wiley Online Library
A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model | SpringerLink
Pricing Options on Realized Variance in Heston Model with Jumps in Returns and Volatility 1 Introduction
Capped Variance Swaps | FINCAD
Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance | SpringerLink
Chapter 17 Variance Swaps | The Derivatives Academy
