Results 161 to 170 of about 884 (197)

Quadratic hedging strategies for volatility swaps

Finance Research Letters, 2015
Abstract This paper investigates a variance-optimal hedging strategy for volatility swaps under exponential Levy dynamics. To obtain the optimal initial capital and the optimal amount of the underlying asset, we derive the explicit expressions of the Follmer–Schweizer decomposition, which in turn implies the explicit expressions of hedging strategies.
Xingchun Wang, Jianping Fu, Guanying Wang, Yongjin Wang   +3 more
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Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model

Stochastic Analysis and Applications, 2020
In this paper, we consider volatility swap and variance swap when the underlying asset is described by a process with multiple stochastic volatility models.
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Volatility swaps and volatility options on discretely sampled realized variance

Journal of Economic Dynamics and Control, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lian, Guanghua, Chiarella, Carl, Kalev, Petko S.   +2 more
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Simulation of Stochastic Volatility Variance Swap

2018
This paper aims to propose efficient mathematical model of variance swap to study the effect of stochastic volatility in different time-scales on the option pricing. Two types of stochastic volatility, including Ornstein-Uhlenbeck (OU) process and Cox-Ingersoll-Ross (CIR) process are considered. Analytical solution of CIR model is presented. For the OU
Shican Liu, Yanli Zhou, Yonghong Wu, Xiangyu Ge   +3 more
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A Note on Volatility Swaps Pricing in Normal Stochastic Volatility Models

SSRN Electronic Journal, 2020
It is well-known that in normal stochastic volatility models with zero correlation the fresh volatility swap price is exactly equal to the at-the-money implied volatility. To replicate a volatility swap, however, the price of a volatility swap at inception is insufficient. Its price throughout its life must be calculated.
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AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS [PDF]

International Journal of Theoretical and Applied Finance, 2012
In this paper we propose a diffusion model relating the stock price dynamics to the CDS spread dynamics of a company by assuming a linear relationship between instantaneous stock volatility and CDS spread. To value contingent claims under this model we apply a finite elements discretization to the associated pricing partial differential equation.
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Replacement of Less-Preferred Dipolar Aprotic and Ethereal Solvents in Synthetic Organic Chemistry with More Sustainable Alternatives

Chemical Reviews, 2022
Andrew Jordan, Helen F Sneddon
exaly  

Ion Dissociation in Ionic Liquids and Ionic Liquid Solutions

Chemical Reviews, 2020
Joan F Brennecke
exaly  

Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading

2015
Robert L. Kosowski, Salih N. Neftci
openaire   +1 more source

Swap Products on Discrete Variance and Volatility

2022
Yue Kuen Kwok, Wendong Zheng
openaire   +1 more source