Results 21 to 30 of about 26,900 (296)
AIMS MathematicsThe CIR stochastic volatility model is modified to introduce nonlinear mean reversion, with the long-run volatility average as a random variable controlled by two parts being modeled through a Brownian motion and a Markov chain, respectively.
Xin-Jiang He, Sha Lin
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Variance Swap Portfolio Theory
SSRN Electronic Journal, 2009 Optimal portfolios of variance swaps are constructed taking account of both autocorrelation and cross asset dependencies. Market prices of variance swaps are extracted from option surface calibrations. The methods developed permit simulation of cash flows to arbitrary portfolios of variance swaps. The optimal design maximizes the index of acceptability
Dilip B. Madan
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Variance Swap Replication: Discrete or Continuous? [PDF]
Journal of Risk and Financial Management, 2015 The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication price is more relevant.
Fabien Le Floc’h
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Pricing and hedging of long dated variance swaps under a 3/2 volatility model [PDF]
, 2014 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 ...
Leunglung Chan, Eckhard Platen
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Pricing Variance Swaps with Cash Dividends
SSRN Electronic Journal, 2008 AbstractWe derive a simple formula for the price of a variance swap when the underlying has cash dividends. The formula allows arbitrary rates, yield‐like dividends (discrete or continuous), and volatility skews, and is exact to first order in the effective cash dividend yield.
Timothy Klassen
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Heston Model: The Variance Swap Calibration
SSRN Electronic Journal, 2013 This paper proposes an alternative methodology to derive starting values for parameters of the Heston model. The term structure of variance swap prices is inferred from the option price surface by means of the spanning option payoff formula given by \textit{D. T. Breeden} and \textit{R. H.
Florence Guillaume, Wim Schoutens
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Credit Default Swap Spreads and Variance Risk Premia [PDF]
Finance and Economics Discussion Series, 2010 We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature.
Hao Wang, Hao Zhou, Yi Zhou
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Variance and Volatility Swaps in Energy Markets
The Journal of Energy Markets, 2010 This 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 ...
Anatoliy Swishchuk
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Pricing of Pseudo-Swaps Based on Pseudo-Statistics
Risks, 2023 The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities.
Sebastian Franco, Anatoliy Swishchuk
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GEOSPATIAL DIMENSIONS OF LAND COVER TRANSITIONS AND LAND SURFACE TEMPERATURE IN ABUJA CITY, NIGERIA [PDF]
The International Archives of the Photogrammetry, Remote Sensing and Spatial Information Sciences, 2022 Urbanization is often accompanied by succession of underlying land cover with impervious surfaces. Built intensification significantly alters the surface energy budget making cities warmer than their outlying suburbs, which signifies an ecological ...
Y. M. Salmamza +2 more
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