Institute of Banking and Finance, University of Zürich
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options on realized variance, transform pricing, variance swaps, stochastic volatility, 3/2 model, Heston model
VIX futures, VIX options, volatility of volatility, volatility derivatives
stochastic volatility, Heston model, price approximation, forward starting options, forward skew, forward smile
options on realized variance, variance swaps, stochastic volatility, Monte Carlo
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options on realized variance, variance swaps, stochastic volatility, discrete sampling, numerical pricing methods
European options, expansion-based approximation of risk-neutral density, Gauss-Hermite series expansion, calibration
forward volatility smiles, forward skew, variance swaps, cliquets, exotic options
options on realized variance, Asian options, stochastic volatility
volatility of volatility, variance derivatives, exotic options, structured products
implied volatility surface, risk neutral density, discrete dividends
European options, generalized Hermite series expansion, calibration
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