Results 1 to 10 of about 39,238 (166)
Forward start volatility swaps in rough volatility models [PDF]
arXiv, 2022 This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approximation error in the leading term of the correlated case with $H\in(0,\frac12)$ does not depend on the ...
Alòs, Elisa +2 more
arxiv +3 more sources
Prices and Asymptotics for Discrete Variance Swaps [PDF]
, 2013 We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions (improving Broadie and Jain (2008a) in the case of the Heston model).
Bernard, Carole, Cui, Zhenyu
arxiv +3 more sources
Volatility Investing with Variance Swaps [PDF]
SSRN Electronic Journal, 2010 Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle.
Elena Silyakova, Wolfgang Karl Härdle
core +5 more sources
A lower bound for the volatility swap in the lognormal SABR model [PDF]
arXiv, 2023 In the short time to maturity limit it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike. The result is valid for all values of the correlation parameter and is a sharper lower bound than the at-the-money implied volatility for correlation less than or equal to ...
Elisa Alòs +2 more
arxiv +5 more sources
Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models [PDF]
arXiv, 2017 In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in financial market. We use convexity correction approximation technique and Laplace transform method to evaluate volatility strikes and estimate VIX future prices.
Zijia Wang, Anatoliy Swishchuk
arxiv +5 more sources
Volatility Swap Under the SABR Model [PDF]
arXiv, 2013 The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An analytical solution using confluent hypergeometric functions is found. The solution is then verified using Rama Cont's functional calculus.
arxiv +4 more sources
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model [PDF]
Journal of Computational and Applied Mathematics (2015), pp.
181-196, 2010 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 portfolio.
Chan, Leunglung, Platen, Eckhard
arxiv +3 more sources
Moment Methods for Exotic Volatility Derivatives [PDF]
arXiv, 2007 The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an operator algebraic treatment of this problem based on Dyson expansions and moment methods and discuss applications ...
Albanese, Claudio, Osseiran, Adel
arxiv +5 more sources
Smiling for the Delayed Volatility Swaps [PDF]
Wilmott, 2011 We present a variance drift-adjusted version of the Heston model which leads to a significant improvement of the market volatility surface fitting (compared with Heston). The numerical example we performed with recent market data shows a significant reduction of the average absolute calibration error (calibration on 12 dates ranging from September 19 ...
Anatoliy Swishchuk, Nelson Vadori
openaire +2 more sources
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility [PDF]
SIAM Journal on Financial Mathematics, 2021 In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our estimate is the first to derive the rigorous relationship between the zero vanna implied volatility and the ...
Kenichiro Shiraya +2 more
openaire +3 more sources