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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 ...
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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 ...
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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 is complete and contains three primitive assets: a bank account, a stock and a variance swap, where
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The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility [PDF]
arXiv, 2022 Exact relationships between the short time-to-maturity ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility are given.
arxiv
Risk managing bermudan swaptions in the libor BGM model [PDF]
, 2003 This article presents a novel approach for calculating swap vega per bucket in the Libor BGM model. We show that for some forms of the volatility an approach based on re-calibration may lead to a large uncertainty in estimated swap vega, as the ...
Pelsser, A.A.J. (Antoon) +1 more
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Estimation of Historical volatility and Allocation strategies using Variance Swaps [PDF]
arXiv, 2022 In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance ...
arxiv
Analytically pricing volatility swaps under stochastic volatility
Journal of Computational and Applied Mathematics, 2015 Papers focusing on analytically pricing discretely-sampled volatility swaps are rare in literature, mainly due to the inherent difficulty associated with the nonlinearity in the pay-off function. In this paper, we present a closed-form exact solution for the pricing of discretely-sampled volatility swaps, under the framework of Heston (1993) stochastic
Zhu, Song-Ping, Lian, Guang-Hua
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The relation between physical and risk-neutral cumulants [PDF]
, 2006 Variance swaps are natural instruments for investors taking directional bets on volatility and are often used for portfolio protection. But the crucial observation suggests that derivative professionals may desire to hedge beyond volatility risk and ...
Zhao, H, Zhang, EJ, Chang, EC
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Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models
SSRN Electronic Journal, 2023 Revision of section on hedging volatility ...
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Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity [PDF]
Applied Mathematics and Computation, 2019 15PAGES
Nan-jing Huang +3 more
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