Concepedia

Volatility Options

Volatility Options is a financial derivative instrument whose payoff is contingent on the realized or implied volatility of an underlying asset, distinguishing it from traditional options by directly exposing investors to volatility risk rather than price direction.

33

Publications

2.1K

Citations

69

Authors

53

Institutions

Publications per year

2017–2026

10

Parents

Publications

33

A Guide to Volatility and Variance Swaps

Krešimir Demeterfi, Emanuel Derman, Michael Kamal et al. · The Journal of Derivatives · 1999 · 474 citations

, , +17

Asymptotics and calibration of local volatility models

Henri Berestycki, Jérôme Busca, Igor Florent · Quantitative Finance · 2002 · 212 citations

, , +15

Volatility Derivatives

Peter Carr, Roger Lee · Annual Review of Financial Economics · 2009 · 191 citations

, , +14

Robust Replication of Volatility Derivatives

Peter W. Carr, Roger Lee · SSRN Electronic Journal · 2008 · 137 citations · Full text

, , +16

The Valuation of Volatility Options

Jérôme Detemple, Carlton Osakwe · European Finance Review · 2000 · 131 citations · Full text

, , +17

1–5 of 33

Authors

69

  1. PC
    Peter Carr

    New York University, United States

    3 publications · 235 citations

    3

    h-index

  2. JD
    Jérôme Detemple

    Boston University, United States

    2 publications · 143 citations

    2

    h-index

  3. RL
    Roger Lee

    Queen Mary University of London, United Kingdom

    2 publications · 328 citations

    2

    h-index

  4. GS
    George Skiadopoulos

    University of Piraeus, Greece

    2 publications · 102 citations

    2

    h-index

  5. CO
    Carlton Osakwe

    Mount Royal University, Canada

    2 publications · 143 citations

    2

    h-index

1–5 of 69

Institutions

53

  1. New York University

    New York, United States

    3 h-index

    5 publications

    207 citations

  2. University of Warwick

    Coventry, United Kingdom

    2 h-index

    2 publications

    102 citations

  3. University of Maryland, College Park

    College Park, United States

    2 h-index

    2 publications

    85 citations

  4. Beijing Jiaotong University

    Beijing, China

    2 h-index

    7 publications

    425 citations

  5. University of Chicago

    Chicago, United States

    2 h-index

    2 publications

    328 citations

  6. University of Oklahoma

    Norman, United States

    1 h-index

    1 publications

    39 citations

  7. Zhejiang University

    Hangzhou, China

    1 h-index

    2 publications

    24 citations

  8. Université Paris Dauphine-PSL

    Paris, France

    1 h-index

    1 publications

    212 citations

1–8 of 53

Venues

  1. Journal of Futures Markets

    6 publications · 143 citations

    6

    h-index

  2. SSRN Electronic Journal

    Repository · 5 publications · 228 citations

    4

    h-index

  3. The Journal of Derivatives

    2 publications · 507 citations

    2

    h-index

  4. International Journal of Theoretical and Applied Finance

    IJTAF · 2 publications · 76 citations

    2

    h-index

  5. Quantitative Finance

    2 publications · 225 citations

    2

    h-index

1–5