Results 221 to 230 of about 598,241 (259)

Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility

Journal of Corporate Finance, 2019
We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility.
Santiago Forte, Lidija Lovreta
semanticscholar   +1 more source

Simulation of Stochastic Volatility Variance Swap

2018
This paper aims to propose efficient mathematical model of variance swap to study the effect of stochastic volatility in different time-scales on the option pricing. Two types of stochastic volatility, including Ornstein-Uhlenbeck (OU) process and Cox-Ingersoll-Ross (CIR) process are considered. Analytical solution of CIR model is presented. For the OU
Shican Liu, Shican Liu, Yanli Zhou, Yonghong Wu, Xiangyu Ge   +4 more
openaire   +2 more sources

A Note on Volatility Swaps Pricing in Normal Stochastic Volatility Models

SSRN Electronic Journal, 2020
It is well-known that in normal stochastic volatility models with zero correlation the fresh volatility swap price is exactly equal to the at-the-money implied volatility. To replicate a volatility swap, however, the price of a volatility swap at inception is insufficient. Its price throughout its life must be calculated.
openaire   +2 more sources

Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives

Communications in nonlinear science & numerical simulation, 2021
S. Rujivan, Udomsak Rakwongwan
semanticscholar   +1 more source

Variance and Volatility Swaps: Bubbles and Fundamental Prices

SSRN Electronic Journal, 2010
The martingale theory of price bubbles defines an asset bubble to exist when the asset’s price process is a strict local martingale, that is, a local martingale that is not a martingale. Using this definition of a price bubble, for continuous semimartingales, we characterize the conditions under which variance and volatility swaps inherit the ...
Robert A. Jarrow, Younes Kchia, Martin Larsson, Philip Protter   +3 more
openaire   +2 more sources

Volatility and Variance Swaps for the COGARCH(1,1) Model

Wilmott Journal, 2010
In this paper, we present volatility and variance swaps valuations for the COGARCH (1,1) model introduced by Kluppelberg et al. (2004). We consider two numerical examples: for compound Poisson COGARCH(1,1) and for variance gamma COGARCH(1,1) processes.
Anatoliy Swishchuk, Matthew Couch
openaire   +2 more sources

Pricing forward-start variance swaps with stochastic volatility

Applied Mathematics and Computation, 2015
Abstract In this paper, a general approach is presented to price forward-start variance swaps with discrete sampling times, based on the Heston (1993)’s two-factor stochastic volatility model. Using this approach we work out two analytical closed-form formulae for the price of forward-start variance swap with the realized variance being defined by ...
Zhu, Song-Ping, Lian, Guang-Hua
openaire   +4 more sources

AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS [PDF]

International Journal of Theoretical and Applied Finance, 2012
In this paper we propose a diffusion model relating the stock price dynamics to the CDS spread dynamics of a company by assuming a linear relationship between instantaneous stock volatility and CDS spread. To value contingent claims under this model we apply a finite elements discretization to the associated pricing partial differential equation.
openaire   +2 more sources

The Swap Market Model with Local Stochastic Volatility

SSRN Electronic Journal, 2017
The aim of this paper is to present the multi-factor swap market model with non-parametric local volatility functions and stochastic volatility scaling factors. We provide a Dupire-like formula with which calibration can be carried out with the particle algorithm in an efficient manner.
openaire   +2 more sources

Jump-diffusion volatility models for variance swaps: An empirical performance analysis

International Review of Financial Analysis, 2023
Yi Hong, Xing Jin
semanticscholar   +1 more source