Results 1 to 10 of about 29,359 (175)
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 Aloš +2 more
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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
exaly +4 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
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
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Forward Start Volatility Swaps in Rough Volatility Models [PDF]
Asia-Pacific Financial MarketsAbstract 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
Elisa Alòs +2 more
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Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model [PDF]
, 2011 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 ...
Chan, Leunglung, Platen, Eckhard
core +2 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
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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
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Variance and volatility swaps and futures pricing for stochastic volatility models [PDF]
SSRN Electronic Journal, 2019 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.
Anatoliy Swishchuk, Zijia Wang
openalex +4 more sources