Results 1 to 10 of about 985,955 (228)
Effect of Variance Swap in Hedging Volatility Risk [PDF]
Risks, 2020 This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston’s stochastic volatility model. In the first problem, the financial market
Yang Shen
doaj +6 more sources
Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model [PDF]
Discrete Dynamics in Nature and Society, 2021 This paper investigates the pricing of discretely sampled variance swaps under a Markov regime-switching jump-diffusion model. The jump diffusion, as well as other parameters of the underlying stock’s dynamics, is modulated by a Markov chain representing
Shican Liu +3 more
doaj +3 more sources
Analytic solutions of variance swaps for Heston models with stochastic long-run mean of variance and jumps. [PDF]
PLoS ONEThis paper presents the pricing formulas for variance swaps within the Heston model that incorporates jumps and a stochastic long-term mean for the underlying asset. By leveraging the Feynman-Kac theorem, we derive a partial integro-differential equation
Jing Fu
doaj +4 more sources
Forecasting Variance Swap Payoffs [PDF]
Journal of futures markets, 2022 We investigate the predictability of payoffs from selling variance swaps on the S&P500, US 10-year treasuries, gold, and crude oil. In-sample analysis shows that structural breaks are an important feature when modeling payoffs, and hence the ex post ...
Dark, Jonathan +3 more
core +5 more sources
Prices and Asymptotics for Discrete Variance Swaps [PDF]
Applied Mathematical Finance, 2013 We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions (improving Broadie and Jain (2008a) in the case of the Heston model).
Bernard, Carole, Cui, Zhenyu
arxiv +9 more sources
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model [PDF]
Journal of Computational and Applied Mathematics (2015), pp.
181-196, 2010 This paper investigates the pricing and hedging of variance swaps under a $3/2$ volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the benchmark approach, which only requires the existence of the num\'{e}raire portfolio.
Leunglung Chan, Eckhard Platen
arxiv +2 more sources
Discretely sampled variance and volatility swaps versus their continuous approximations [PDF]
arXiv, 2011 Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this paper is to study the conditions under which this approximation is valid.
Robert A. Jarrow +3 more
arxiv +3 more sources
Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models [PDF]
arXiv, 2017 In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in financial market. We use convexity correction approximation technique and Laplace transform method to evaluate volatility strikes and estimate VIX future prices.
Anatoliy Swishchuk, Zijia Wang
arxiv +4 more sources
Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure [PDF]
arXiv, 2016 This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) process with full correlation ...
Teh Raihana Nazirah Roslan +2 more
arxiv +3 more sources
Variance dispersion and correlation swaps [PDF]
arXiv, 2010 In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting part of this exposure, namely buying back correlation. Two ways have been proposed for such a strategy : either pure correlation swaps or dispersion trades ...
Antoine Jacquier, Saad Slaoui
arxiv +3 more sources