Results 21 to 30 of about 57,482 (138)
Pricing volatility derivatives under the modified constant elasticity of variance model [PDF]
, 2015 © 2015 Elsevier B.V. All rights reserved. This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant elasticity of variance model using the benchmark approach.
Chan, L, Platen, E
core +1 more source
Arithmetic variance swaps [PDF]
, 2016 Biases in standard variance swap rates can induce substantial deviations below market rates. Defining realised variance as the sum of squared price (not log-price) changes yields an `arithmetic' variance swap with no such biases.
Alexander, Carol, Leontsinis, Stamatis
core +1 more source
On the pricing and hedging of volatility derivatives [PDF]
, 2003 We consider the pricing of a range of volatility derivatives, including volatility and variance swaps and swaptions. Under risk-neutral valuation we provide closed-form formulae for volatility-average and variance swaps for a variety of diffusion and ...
Howison, Sam +2 more
core +2 more sources
Estimation of Historical volatility and Allocation strategies using Variance Swaps [PDF]
arXiv, 2022 In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance ...
arxiv
Variance risk in commodity markets [PDF]
, 2017 We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized variance swap payoffs in most markets.
Prokopczuk, Marcel +2 more
core +4 more sources
Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models [PDF]
arXiv, 2020 In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with weights that are directly related to trading intuition.
arxiv
Arbitrage Bounds for Prices of Weighted Variance Swaps
, 2012 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
Davis, Mark H. A. +2 more
core +1 more source
On the pricing of forward-start variance swaps with stochastic volatility and stochastic interest rate [PDF]
, 2017 Variance swaps have gained an immense recognition in the financial market based on the tremendous spike in its trading volume since late 1990s. Being categorized under volatility derivatives, the substance of variance swaps can be related to the vital ...
Roslan, Teh Raihana Nazirah
core +1 more source
On the volatility of volatility [PDF]
, 2006 The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility
Black +3 more
core +2 more sources
Spectral methods for volatility derivatives [PDF]
, 2009 In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX).
Albanese, Claudio +2 more
core +2 more sources