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On the valuation of variance swaps with stochastic volatility
Applied Mathematics and Computation, 2008Abstract This paper is an extension to a recent paper by Zhu and Lian (2011) [1] , in which a closed-form exact solution was presented for the price of variance swaps with a particular definition of the realized variance. Here, we further demonstrate that our approach is quite versatile and can be used for other definitions of the realized variance ...
Zhu, Song-Ping, Lian, Guang-Hua
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A Guide to Volatility and Variance Swaps
The Journal of Derivatives, 1999Trading in derivatives has caused investors, and especially market makers, to be concerned with the volatility of asset returns along with their direction. Uncertain and time-varying volatility imparts risk to an otherwise hedged position, and volatility risk is not easy to manage with ordinary instruments.
Emanuel Derman +3 more
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Studies in Nonlinear Dynamics & Econometrics, 2021
This study analyzes the co-integration relationship between sovereign bonds and credit default swaps (CDS) and then examines the impact of CDS-bond deviation from the relationship on market volatility using the Markov-switching approach.
Leon Li, F. Scrimgeour
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This study analyzes the co-integration relationship between sovereign bonds and credit default swaps (CDS) and then examines the impact of CDS-bond deviation from the relationship on market volatility using the Markov-switching approach.
Leon Li, F. Scrimgeour
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PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE
Probability in the engineering and informational sciences (Print), 2021In this paper, we discuss the problem of pricing discretely sampled variance swaps under a hybrid stochastic model. Our modeling framework is a combination with a double Heston stochastic volatility model and a Cox–Ingersoll–Ross stochastic interest rate
Huojun Wu +3 more
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The Transmission of Swap Spreads and Volatilities in the International Swap Markets
SSRN Electronic Journal, 2002We investigate the Japanese yen and U.S. dollar interest rate swap markets during the period 1990-2000, by examining the spreads of the swap rates over comparable treasury yields (on Japanese Government Bonds (JGBs) and U.S. Treasury bonds, respectively) for different maturities.
Jun Uno +2 more
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Variance and Volatility Swap Model
2023A variance/volatility swap is an instrument that allows explicit exposure to the realized variance/volatility of an index, stock, etc., without exposure to other risks commonly encountered with derivatives: delta, gamma, etc.
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Transmission of Swap Spreads and Volatilities in the Japanese Swap Market
The Journal of Fixed Income, 2002This is an investigation of the Japanese yen and U.S. dollar interest rate swap markets during 1990–2000. It examines spreads over comparable Treasury yields for different maturities and the transmission of shocks to swap spreads and volatilities from one market to the other.
Marti G. Subrahmanyam +2 more
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Journal of futures markets
We construct a stochastic volatility model considering stochastic liquidity risks when valuing variance and volatility swaps with discrete sampling. We base our model on Heston stochastic volatility, which is adopted for the modeling of stock prices when
Sha Lin, Xin‐Jiang He
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We construct a stochastic volatility model considering stochastic liquidity risks when valuing variance and volatility swaps with discrete sampling. We base our model on Heston stochastic volatility, which is adopted for the modeling of stock prices when
Sha Lin, Xin‐Jiang He
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On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures
New Mathematics and Natural Computation, 2018Convexity correction is a well-known approximation technique used in pricing volatility swaps and VIX futures. However, the accuracy of the technique itself and the validity condition of this approximation have hardly been addressed and discussed in the ...
Song‐Ping Zhu, G. Lian
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, 2016
The objective of this paper is to study the arbitrage free pricing of variance and volatility swaps for Barndorff-Nielsen and Shephard type Levy process driven financial markets.
S. Habtemicael, I. Sengupta
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The objective of this paper is to study the arbitrage free pricing of variance and volatility swaps for Barndorff-Nielsen and Shephard type Levy process driven financial markets.
S. Habtemicael, I. Sengupta
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