Results 81 to 90 of about 985,955 (228)
Variance Swap Pricing with a Regime-Switching Market Environment
, 2013 In this paper we provide a valuation formula for a variance swap with regime switching. A variance swap is a forward contract on variance, the square of realized volatility of the underlying asset.
Kum-Hwan Roh
semanticscholar +1 more source
Why do variance swaps exist? [PDF]
, 2011 This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribution of market returns.
Belén Nieto +2 more
openaire +2 more sources
Optimal Variance Swaps Portfolios and Estimating Greeks for Variance-Gamma [PDF]
, 2011 In this dissertation, we investigate two problems: constructing optimal variance swaps portfolios and estimating Greeks for options with underlying assets following a Variance Gamma process.
Cao, Lingyan
core
A PROPOSAL FOR MULTI-ASSET GENERALIZED VARIANCE SWAPS
Annals of Financial Economics, 2019 This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigenvalue and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with Markov-modulated volatilities.
Subhojit Biswas, Diganta Mukherjee
openaire +3 more sources
Arbitrage Bounds for Prices of Weighted Variance Swaps [PDF]
arXiv, 2010 We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strategies which enforce them.
arxiv
Variance improved performance [PDF]
, 2013 We propose a simple and e cient way of forecasting the term structure of swap rates and we demonstrate how an investor might bene t from (i) the variance swap as an asset; and (ii) from the implied information present on the swap rate.
Clara, Nuno Duarte Pacheco
core
Pricing Variance Swap and Swaption
, 2021 https://ia803408.us.archive.org/0/items/eq-variance-9/EqVariance-archive ...
openaire +2 more sources
Forecasting the Term Structure of Variance Swaps [PDF]
Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for ...
Kai Detlefsen, Wolfgang Härdle
core
Variance Swaps on Defaultable Assets and Market Implied Time-Changes [PDF]
arXiv, 2012 We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a L\'{e}vy subordinator. In this framework, the underlying may exhibit jumps with a state-dependent L\'{e}vy measure, local stochastic volatility and have a local stochastic default intensity.
arxiv