References
- Biagini, F., P. Guason, and M. Pratelli. 2000. “Mean-variance Hedging for Stochastic Volatility Models.” Mathematical Finance 10 (2): 109–123. doi:https://doi.org/10.1111/1467-9965.00084.
- Biagini, F., and P. Guasoni. 2002. “Mean–variance Hedging with Random Volatility Jumps.” Stochastic Analysis and Applications 20 (3): 471–494. doi:https://doi.org/10.1081/SAP-120004112.
- Black, F., and M. Scholes. 1973. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81 (3): 637–654. doi:https://doi.org/10.1086/260062.
- Branger, N., H. Hulsbusch, and A. Kraftschik (2018). “The Volatility-of-volatility Term Structure.” https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2980074
- Cox, J., S. Ross, and M. Rubinstein. 1979. “Options Pricing: A Simplified Approach.” Journal of Financial Economics 27: 229–263. doi:https://doi.org/10.1016/0304-405X(79)90015-1.
- Driessen, J., and P. Maenhout. 2013. “The World Price of Jump and Volatility Risk.” Journal of Banking & Finance 37: 518–536. doi:https://doi.org/10.1016/j.jbankfin.2012.09.008.
- Drimus, G. (2011). “Volatility-of-Volatility Perspectives: Variance Derivatives and Other Equity Exotics.” PhD thesis, University of Copenhagen.
- Duffie, D. 2001. Dynamic Asset Pricing Theory. 3rd ed. Princeton, NJ: Princeton University Press.
- Duffie, D., and H.R. Richardson. 1991. “Mean-variance Hedging in Continuous Time.” The Annals of Applied Probability 1 (1): 1–15. DOI:https://doi.org/10.1214/aoap/1177005978.
- Faias, J., and P. Santa-Clara. 2017. “Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing.” Journal of Financial and Quantitative Analysis 52 (1): 277–303. doi:https://doi.org/10.1017/S0022109016000831.
- Gao, X., and J. Xue (2017). “Measuring and Understanding Uncertainty of Uncertainty.” Technical report, Smith School of Business, University of Maryland-College Park.
- Heston, S. L. 1993. “A Closed-form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.” Review of Financial Studies 6 (2): 327–343. doi:https://doi.org/10.1093/rfs/6.2.327.
- Huang, H., C. Schlag, I. Halitotic, and J. Thimme 2018. “The Volatility-of-volatility Term Structure.” https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2497759
- Jeanblanc, M., M. Mania, M. Santacroce, and M. Schweizer. 2012. “Mean-variance Hedging via Stochastic Control and Bsdes for General Semimartingales.” The Annals of Applied Probability 22 (6): 2388–2428. DOI:https://doi.org/10.1214/11-AAP835.
- Jones, C. 2006. “A Nonlinear Factor Analysis of S&P 500 Index Option Returns.” The Journal of Finance 61 (5): 2325–2363. doi:https://doi.org/10.1111/j.1540-6261.2006.01059.x.
- Kim, Y., S. V. Stoyanov, S. Rachev, and F. J. Fabozzi. 2016. “Multi-purpose Binomial Model: Fitting All Moments to the Underlying Geometric Brownian Motion.” Economics Letters 145: 225–229. doi:https://doi.org/10.1016/j.econlet.2016.05.035.
- Markowitz, H. 1952a. “Portfolio Selection.” Journal of Finance 7: 77–91.
- Markowitz, H. 1952b. “The Utility of Wealth.” Journal of Political Economy 60 (2): 151–158. doi:https://doi.org/10.1086/257177.
- Merton, R. C. 1973. “Theory of Rational Option Pricing.” The Bell Journal of Economics and Management Science 4 (1): 141–183. doi:https://doi.org/10.2307/3003143.
- Merton, R. C. 1976. “Option Pricing When Underlying Stock Returns are Discontinuous.” Journal of Financial Economics 3 (1–2): 125–144. doi:https://doi.org/10.1016/0304-405X(76)90022-2.
- Rachev, S., S. V. Stoyanov, and F. J. Fabozzi. 2017. “Financial Markets with No Riskless (Safe) Asset.” International Journal of Theoretical and Applied Finance 20 (8): 1–24. doi:https://doi.org/10.1142/S0219024917500546.
- Runggaldier, W. 2003. “Jump Diffusion Models.” In Handbook of Heavy Tailed Distributions in Finance, edited by S. Rachev, 169–209. Vol. 3. North-Holland: Elsevier.
- Schweizer, M. 1992. “Mean-variance Hedging for General Claims.” The Annals of Applied Probability 2(1): 171–179.
- Schweizer, M. 2010. “Mean-variance Hedging.” In Encyclopedia of Quantitative Finance, edited by, R. Cont. (1). Vol. 2 1177–1181. Hoboken, NJ: Wiley.
- Sueppel, R. 2018. “The Importance of Volatility of Volatility. Systemic Risk and Systemic Value.” https://www.sr-sv.com/the-importance-of-volatility-of-volatility/