Volatility and volatility-linked derivatives: estimation, modeling, and pricing

Elisa Alòs (), Maria Elvira Mancino and Tai-Ho Wang ()
Additional contact information
Elisa Alòs: Universitat Pompeu Fabra and Barcelona Graduate School of Economics
Tai-Ho Wang: The City University of New York

Decisions in Economics and Finance, 2019, vol. 42, issue 2, No 2, 349 pages

Abstract: Abstract This article serves the purpose of reviewing recent developments of the estimation and modeling of volatilities for financial products as well as on the pricing and hedging of financial derivatives that are related to volatility under certain models. It also provides a reading guide for the contributed papers. Emphases are put on continuous processes in continuous time. Discrete time models and models with jumps are not included in the discussion. Presentation of the article is more intuitive and heuristic rather than mathematically sound and rigorous in nature.

Keywords: Volatility; Estimation; Modeling; Volatility derivatives; Pricing (search for similar items in EconPapers)
JEL-codes: C13 G13 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1007/s10203-019-00271-w Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00271-w

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10203/PS2

DOI: 10.1007/s10203-019-00271-w

Access Statistics for this article

Decisions in Economics and Finance is currently edited by Paolo Ghirardato

More articles in Decisions in Economics and Finance from Springer, Associazione per la Matematica
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().