Results 201 to 210 of about 598,241 (259)
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, 2017
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.
Frido Rolloos, Melih Arslan
semanticscholar +1 more source
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.
Frido Rolloos, Melih Arslan
semanticscholar +1 more source
Model-Free Pricing and Hedging of Forward Starting Volatility Swaps
, 2018In this paper we give a model-free approximation for the price of forward starting volatility swaps. Moreover, we show that a self-financing and model-independent approximate hedge is achieved by dynamically trading zero vanna forward starting straddles ...
Frido Rolloos
semanticscholar +1 more source
Volatility and variance swaps and options in the fractional SABR model
European Journal of Finance, 2020Appropriate capturing the nature of financial market volatility is a significant factor for the pricing of volatility derivatives. A recent study by Gatheral, Jaisson and Rosenbaum [2018.
See-Woo Kim, Jeong‐Hoon Kim
semanticscholar +1 more source
Variance and volatility swaps in energy markets
The Journal of Energy Markets, 2010This paper is devoted to the pricing of variance and volatility swaps in energy market. We found explicit variance swap formula and closed form volatility swap formula (using Brockhaus-Long approximation) for energy asset with stochastic volatility that follows continuous-time GARCH (1,1) model (mean-reverting) (or Pilipovi\'{c} one-factor model ...
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Credit Variance Swaps and Volatility Indexes
SSRN Electronic Journal, 2013Credit volatility correlates quite modestly with equity volatility. Currently, only backward-looking indexes for credit volatility exist. We derive model-free indexes of expected CDS index spread volatility that rely on CDS index option prices, which reect the fair value of dedicated credit variance swaps that are forward-looking in nature.
Antonio Mele +3 more
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Discrete variance swap in a rough volatility economy
Journal of Futures Markets, 2021AbstractThe discrete variance swap is one of the most popular volatility derivatives traded on the over‐the‐counter market. This paper discusses its valuation in a rough volatility economy and the impact of roughness on the term structure of discrete variance swap prices. A semianalytic solution is obtained through stochastic convolution. Our numerical
Yiru Xi, Hoi Ying Wong
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, 2016
Pricing a volatility swap is a highly nonlinear problem. Explicit solutions of the prices of volatility swaps are notoriously difficult to find. In this paper, we consider a saddlepoint approximation method for the valuation of a volatility swap under ...
Mengzhe Zhang, Leunglung Chan
semanticscholar +1 more source
Pricing a volatility swap is a highly nonlinear problem. Explicit solutions of the prices of volatility swaps are notoriously difficult to find. In this paper, we consider a saddlepoint approximation method for the valuation of a volatility swap under ...
Mengzhe Zhang, Leunglung Chan
semanticscholar +1 more source
Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
2015This chapter introduces tools for volatility engineering. First, we describe positions with volatility exposure based on options such as delta-hedged calls and straddles. We point out the sensitivity of such positions to variables other than volatility. Then, we move to pure variance products. We describe the replication and pricing of a variance swap.
Robert L. Kosowski, Salih N. Neftci
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International swap market contagion and volatility
Economic Modelling, 2015Abstract Using interest rate swap yield and spread data the linkages and volatility transmission between three major international swap markets: Japan, UK and the US are investigated. The volatilities of the swap yield and spreads are decomposed into long and short term components enabling an assessment to be made of the strength and direction of the
Jonathan A. Batten +3 more
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, 2020
This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the ...
Jiling Cao +2 more
semanticscholar +1 more source
This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the ...
Jiling Cao +2 more
semanticscholar +1 more source