Results 1 to 10 of about 989 (299)

A Lower Bound for the Volatility Swap in the Lognormal SABR Model [PDF]

Axioms, 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.
Elisa Alòs, Frido Rolloos, Kenichiro Shiraya   +2 more
doaj   +2 more sources

Variance swap volatility dispersion [PDF]

Derivatives Use, Trading & Regulation, 2006
Several trading institutions are actively engaged in ‘volatility dispersion’ strategies. These involve selling volatility on the index and buying volatility on the components. This trade was traditionally done using at the money (ATM) straddles. An important practical problem with this approach is that market prices move and cause the original ATM ...
Izzy Nelken
openaire   +2 more sources

Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities [PDF]

Risks, 2023
In this paper, we consider the problem of pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities.
Anatoliy Swishchuk, Sebastian Franco
doaj   +2 more sources

Effect of Variance Swap in Hedging Volatility Risk [PDF]

Risks, 2020
This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston’s stochastic volatility model. In the first problem, the financial market
Yang Shen
doaj   +3 more sources

Forward Start Volatility Swaps in Rough Volatility Models [PDF]

Asia-Pacific Financial Markets
Abstract 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
Alòs, Elisa, Rolloos, Frido, Shiraya, Kenichiro   +2 more
openaire   +3 more sources

An analysis through credit default swap, asset swap and zero-volatility spreads: Coup attempt and Bist 100 volatility

Borsa Istanbul Review, 2019
In this study, we explore the volatility structure of BIST 100 index returns through Markov Regime Switching VAR model in the domain of credit risk indicators of Turkey.
Samet Gunay
doaj   +2 more sources

Exchange rates, credit default swaps and market volatility of emerging markets: Panel CS-ARDL approach

Borsa Istanbul Review, 2023
Using the panel-data approach with a sample of emerging countries, this study examines the relationship between exchange-rate movements from 2011 to 2022, on the one hand, and sovereign debt credit default swap (CDS) premiums and market volatility, on ...
Alan T. Wang, Chin-Chia Liang
doaj   +2 more sources

Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models [PDF]

SSRN Electronic Journal, 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.
Swishchuk, Anatoliy, Wang, Zijia
openaire   +4 more sources

Comparison of Model for Pricing Volatility Swaps [PDF]

SSRN Electronic Journal, 2013
The popularity of volatility derivatives has increased through these years of financial turmoil. In particular, variance and volatility swap seem interesting to analyse due to its growing trading volume. Hence, the aim of this work is to present a full revision of these two volatility derivatives, comparing pricing methodologies, like Taylor expansion ...
Néstor Romero
openaire   +3 more sources

Analytical formulae for variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

AIMS Mathematics
The 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
doaj   +2 more sources