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Volatility swaps and volatility options on discretely sampled realized variance
Journal of Economic Dynamics and Control, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lian, Guanghua +2 more
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Simulation of Stochastic Volatility Variance Swap
2018This 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 +3 more
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A Note on Volatility Swaps Pricing in Normal Stochastic Volatility Models
SSRN Electronic Journal, 2020It 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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Discrete variance swap in a rough volatility economy
Journal of Futures Markets, 2021Hoi Ying Wong
exaly
Inflation expectations, volatility and Covid-19: evidence from the US inflation swap rates
Applied Economics Letters, 2021Emmanuel Apergis, Nicholas Apergis
exaly
Central bank swap arrangements and exchange rate volatility: Evidence from China
Emerging Markets Review, 2023Ziliang Yu
exaly
Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
2015Robert L. Kosowski, Salih N. Neftci
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Swap Products on Discrete Variance and Volatility
2022Yue Kuen Kwok, Wendong Zheng
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