Results 281 to 290 of about 616,096 (355)

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

Communications in Nonlinear Science and Numerical Simulation, 2021
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Rujivan, Sanae, Rakwongwan, Udomsak
openaire   +3 more sources

Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model

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.
Aziz Issaka
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Variance Swaps Under Multiscale Stochastic Volatility of Volatility

Methodology and Computing in Applied Probability, 2020
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Min-Ku Lee, See-Woo Kim, Jeong-Hoon Kim
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Volatility swaps and volatility options on discretely sampled realized variance

Journal of Economic Dynamics and Control, 2014
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Lian, Guanghua, Chiarella, Carl, Kalev, Petko S.   +2 more
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GARCH and Volatility swaps

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.
Alireza Javaheri, Paul Wilmott, Espen G Haug   +2 more
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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), 2021
In 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, Zhaoli Jia, Shuquan Yang, Ce Liu   +3 more
semanticscholar   +1 more source

The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?

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
semanticscholar   +1 more source

Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks

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
semanticscholar   +1 more source

Variance and Volatility Swap Model

2023
A 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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