Results 21 to 30 of about 39,238 (166)
"Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments" [PDF]
This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to ...
Akihiko Takahashi +2 more
core +6 more sources
Speculators, prices and market volatility [PDF]
, 2015 We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find
Brunetti, Celso +2 more
core +1 more source
Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models [PDF]
arXiv, 2020 In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with weights that are directly related to trading intuition.
arxiv
Risk Managing Bermudan Swaptions in the Libor BGM Model [PDF]
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 ...
Antoon Pelsser, Raoul Pietersz
core +3 more sources
Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps [PDF]
International Journal of Stochastic Analysis, 2011 We study the valuation of the variance swaps under stochastic volatility with delay and jumps. In our model, the volatility of the underlying stock price process not only incorporates jumps, which are found to be active empirically, but also exhibits past dependence: the behavior of a stock price right after a given time t depends not only on the ...
Swishchuk, Anatoliy, Xu, Li
openaire +3 more sources
Hedging under rough volatility [PDF]
arXiv, 2021 In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor rough stochastic volatility model, any option may be perfectly hedged with a dynamic portfolio containing the underlying and one other asset such as a variance swap.
arxiv
On the pricing and hedging of volatility derivatives [PDF]
, 2003 We consider the pricing of a range of volatility derivatives, including volatility and variance swaps and swaptions. Under risk-neutral valuation we provide closed-form formulae for volatility-average and variance swaps for a variety of diffusion and ...
Howison, Sam +2 more
core +2 more sources
Towards faster settlement in HTLC-based Cross-Chain Atomic Swaps [PDF]
arXiv, 2022 Hashed Timelock (HTLC)-based atomic swap protocols enable the exchange of coins between two or more parties without relying on a trusted entity. This protocol is like the American call option without premium. It allows the finalization of a deal within a certain period.
arxiv
Spectral methods for volatility derivatives [PDF]
, 2009 In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX).
Albanese, Claudio +2 more
core +2 more sources
Modeling and Pricing of Variance and Volatility Swaps for Local Semi‐Markov Volatilities in Financial Engineering [PDF]
Mathematical Problems in Engineering, 2010 We consider a semi‐Markov modulated security market consisting of a riskless asset or bond with constant interest rate and risky asset or stock, whose dynamics follow gemoetric Brownian motion with volatility that depends on semi‐Markov process. Two cases for semi‐Markov volatilities are studied: local current and local semi‐Markov volatilities.
Anatoliy Swishchuk, MANCA, Raimondo
openaire +3 more sources