Results 181 to 190 of about 598,241 (259)
Advocacy, experience sharing and action planning toward raising additional financing for primary health care: spending more and spending better towards universal health coverage. [PDF]
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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. The model considered in this paper is the multi-factor Heston stochastic volatility model.
Aziz Issaka
semanticscholar +3 more sources
In this paper, we consider volatility swap and variance swap when the underlying asset is described by a process with multiple stochastic volatility models. The model considered in this paper is the multi-factor Heston stochastic volatility model.
Aziz Issaka
semanticscholar +3 more sources
Variance Swaps Under Multiscale Stochastic Volatility of Volatility
Methodology and Computing in Applied Probability, 2020Many hedge funds and retail investors demand volatility and variance derivatives in order to manage their exposure to volatility and volatility-of-volatility risk associated with their trading positions. The Heston model is a standard popular stochastic volatility model for pricing volatility and variance derivatives.
Min-Ku Lee +2 more
semanticscholar +3 more sources
Volatility Swaps and Volatility Options on Discretely Sampled Realized Variance
Journal of Economic Dynamics and Control, 2014Volatility swaps and volatility options are financial products written on discretely sampled realized variance. Actively traded in over-the-counter markets, these products are often priced by continuously sampled approximations to simplify the ...
G. Lian, C. Chiarella, P. Kalev
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Annals of Finance, 2021
In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties of the long-term variance process suggested by the empirical data: long ...
Nicholas Salmon, I. Sengupta
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In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties of the long-term variance process suggested by the empirical data: long ...
Nicholas Salmon, I. Sengupta
semanticscholar +1 more source
Taylor-Made Volatility Swaps [PDF]
SSRN Electronic Journal, 2015 Using little else than the mixing formula and Taylor expansions we show that the volatility swap strike is approximately the implied volatility corresponding to the strike where the vanna and vomma of a vanilla option is zero. As this result does not require any heavy numerical computations, and is valid for a large class of stochastic volatility ...
Frido Rolloos, Melih Arslan
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Quantitative Finance, 2004
This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH(1,1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or discrete context.
Espen Gaarder Haug +2 more
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This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH(1,1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or discrete context.
Espen Gaarder Haug +2 more
openaire +2 more sources