Results 11 to 20 of about 598,241 (259)
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model [PDF]
Journal of Computational and Applied Mathematics (2015), pp.
181-196, 2011 This paper investigates the pricing and hedging of variance swaps under a $3/2$ volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the benchmark approach, which only requires the existence of the num\'{e}raire ...
Chan, Leunglung, Platen, Eckhard
core +3 more sources
A lower bound for the volatility swap in the lognormal SABR model [PDF]
Axioms, 2023 In the short time to maturity limit, it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike. The result is valid for all values of the correlation parameter and is a sharper lower bound than the at-the-money implied volatility for correlation less than or equal to ...
Elisa Alòs +2 more
arxiv +7 more sources
Volatility Swap Under the SABR Model [PDF]
arXiv, 2013 The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An analytical solution using confluent hypergeometric functions is found. The solution is then verified using Rama Cont's functional calculus.
Simon Bossoney
arxiv +5 more sources
Smiling for the Delayed Volatility Swaps: Smiling for the Delayed Volatility Swaps [PDF]
Wilmott, 2014 We present a variance drift-adjusted version of the Heston model which leads to a significant improvement of the market volatility surface fitting (compared with Heston). The numerical example we performed with recent market data shows a significant reduction of the average absolute calibration error (calibration on 12 dates ranging from September 19 ...
A. Swishchuk, N. Vadori
semanticscholar +3 more sources
Analyzing global utilization and missed opportunities in debt-for-nature swaps with generative AI [PDF]
Frontiers in Artificial IntelligenceWe deploy a prompt-augmented GPT-4 model to distill comprehensive datasets on the global application of debt-for-nature swaps (DNS), a pivotal financial tool for environmental conservation.
Nataliya Tkachenko +8 more
doaj +2 more sources
Trading Risk and Volatility in Interest Rate Swap Spreads [PDF]
SSRN Electronic Journal, 2004 This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which speculators take positions on a bet that asset prices will converge ...
John Kambhu
openalex +5 more sources
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
Yang Shen
openalex +5 more sources
Mathematics, 2021 At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
doaj +2 more sources
Moment Methods for Exotic Volatility Derivatives [PDF]
arXiv, 2007 The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process.
Albanese, Claudio, Osseiran, Adel
core +3 more sources
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
Song‐Ping Zhu, G. Lian
semanticscholar +5 more sources