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Pricing and Hedging Variance Swaps on a Swap Rate
SSRN Electronic Journal, 2013We solve the pricing and hedging problem for the generic variance swap on a swap rate. The solution is not limited to a specifc swap rate model approximation. In order to address the absence of arbitrage constraints and to preserve the model complexity, we develop an alternative approach to swap rate approximations.
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Variance Swaps with Deterministic and Stochastic Correlations
Computational Economics, 2020As market observations say that many financial quantities are correlated in a time dependent, nonlinear or unpredictable way, in this study, we present an approach to price discretely sampled variance swaps based on the Heston model extended by incorporating deterministic or stochastic correlation between an underlying asset and its variance. We obtain
Ah-Reum Han, Jeong-Hoon Kim, See-Woo Kim
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Discrete variance swap in a rough volatility economy
Journal of futures markets, 2021Yiru Xi, H. Y. Wong
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Variance Swap Premium under Stochastic Volatility and Self-Exciting Jumps
, 2013We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic triggered by big negative stock returns.
Ke Chen, S. Poon
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Variance and volatility swaps in energy markets
The Journal of Energy Markets, 2010This paper is devoted to the pricing of variance and volatility swaps in energy market. We found explicit variance swap formula and closed form volatility swap formula (using Brockhaus-Long approximation) for energy asset with stochastic volatility that follows continuous-time GARCH (1,1) model (mean-reverting) (or Pilipovi\'{c} one-factor model ...
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Swap variance hedging and efficiency: The role of high moments
Journal of Financial Research, 2023semanticscholar +1 more source
Unifying Variance Swap Term Structures, SPX and VIX Derivatives
, 2013We propose a term structure function, a two-factor variance process and a return process to jointly price SPX and VIX derivatives. The distinctive feature of the variance model is that the factor coefficients are time-varying and they are bonded with the
Bo Zhao
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Credit Variance Swaps and Volatility Indexes
SSRN Electronic Journal, 2013Credit volatility correlates quite modestly with equity volatility. Currently, only backward-looking indexes for credit volatility exist. We derive model-free indexes of expected CDS index spread volatility that rely on CDS index option prices, which reect the fair value of dedicated credit variance swaps that are forward-looking in nature.
Antonio Mele +3 more
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The Value of a Variance Swap - A Question of Interest
SSRN Electronic Journal, 2009In this note we consider the amount by which the fair strike of an equity variance swap will differ in a deterministic interest rate model versus an equity-interest rate hybrid, when both are calibrated to the same vanilla market. We assume that the stock and the bond are Ito diffusions and derive a simple bound for this correction that depends on the ...
Per Hörfelt, Olaf Torne
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