Results 171 to 180 of about 960,135 (193)

Jump-diffusion volatility models for variance swaps: An empirical performance analysis

International Review of Financial Analysis, 2023
Yi Hong, Xing Jin
semanticscholar   +1 more source

Variance swaps with mean reversion and multi-factor variance

European Journal of Operational Research, 2023
Bin Wu, Pengzhan Chen, Wuyi Ye
semanticscholar   +1 more source

EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE

International Journal of Theoretical and Applied Finance, 2019
This paper focuses on the pricing of variance swaps in incomplete markets where the short rate of interest is determined by a Cox–Ingersoll–Ross model and the stock price is determined by a Heston model with simultaneous Lévy jumps. We obtain the pricing
Ben-Zhang Yang, Jia Yue, N. Huang
semanticscholar   +1 more source

Dynamic Replicaton of Variance Swaps with Three Options

Social Science Research Network, 2023
Frido Rolloos
semanticscholar   +1 more source

Variance swaps valuation under non-affine GARCH models and their diffusion limits

Quantitative finance (Print), 2018
In this article, we investigate the pricing and convergence of general non-affine non-Gaussian GARCH-based discretely sampled variance swaps. Explicit solutions for fair strike prices under two different sampling schemes are derived using the extended ...
A. Badescu, Yuyu Chen, M. Couch, Zhenyu Cui   +3 more
semanticscholar   +1 more source

A closed-form pricing formula for variance swaps under a stochastic volatility model with a stochastic mean-reversion level

Soft Computing - A Fusion of Foundations, Methodologies and Applications, 2022
Xin‐Jiang He, Sha Lin
semanticscholar   +1 more source

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.
Subhojit Biswas, Diganta Mukherjee
semanticscholar   +1 more source

Pricing of variance swap rates and investment decisions of variance swaps: Evidence from a three-factor model

European Journal of Operational Research, 2022
Yi Hong, Xing Jin
semanticscholar   +1 more source

Pricing variance swaps under subordinated Jacobi stochastic volatility models

Physica A: Statistical Mechanics and its Applications, 2022
Zhigang Tong, Allen Liu
semanticscholar   +1 more source

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

Expert systems with applications, 2023
Sha Lin, Xin‐Jiang He
semanticscholar   +1 more source