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Option pricing models without probability: a rough paths approach [PDF]
, 2020 We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of European ...
Armstrong, John +3 more
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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
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Closed-Form Formula for the Conditional Moments of Log Prices under the Inhomogeneous Heston Model
Computation, 2022 Several financial instruments have been thoroughly calculated via the price of an underlying asset, which can be regarded as a solution of a stochastic differential equation (SDE), for example the moment swap and its exotic types that encourage investors
Kittisak Chumpong +1 more
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Variance swap volatility dispersion [PDF]
Derivatives Use, Trading & Regulation, 2006 Several trading institutions are actively engaged in ‘volatility dispersion’ strategies. These involve selling volatility on the index and buying volatility on the components. This trade was traditionally done using at the money (ATM) straddles. An important practical problem with this approach is that market prices move and cause the original ATM ...
openaire +1 more source
Pricing volatility derivatives under the modified constant elasticity of variance model [PDF]
, 2015 © 2015 Elsevier B.V. All rights reserved. This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant elasticity of variance model using the benchmark approach.
Chan, L, Platen, E
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International Journal of Financial Studies, 2014 This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of ...
Paulo Pereira da Silva
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THE ASYMMETRICAL IMPACT OF POLICY RESPONSES ON VOLATILITY OF SOVEREIGN DEFAULT SWAPS [PDF]
Financial Studies, 2022 The COVID-19 pandemic has adversely influenced economies around the world through supply and demand channels. The increasing uncertainty and the decreasing demand due to the strict social measures of the government to cushion the spread of the pandemic ...
Deniz ERER
doaj
Asymptotic Analysis for One-Name Credit Derivatives
Abstract and Applied Analysis, 2013 We propose approximate solutions to price defaultable zero-coupon bonds as well as the corresponding credit default swaps and bond options. We consider the intensity-based approach of a two-correlated-factor Hull-White model with stochastic volatility of
Yong-Ki Ma, Beom Jin Kim
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Unveiling trading patterns: iTraxx Europe financials from the great financial crisis to ECB monetary easing [PDF]
Banks and Bank Systems, 2022 Financial stability is a statutory concern of the European Central Bank. Spreads of bank credit default swaps (CDS) indices are a reference for financial stability, but the literature is scarce in this respect.
Maria Alberta Oliveira, Carlos Santos
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VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING
International Journal of Theoretical and Applied Finance, 2019 In this paper, the pricing problem of variance and volatility swaps is discussed under a two-factor stochastic volatility model. This model can be treated as a two-factor Heston model with one factor following the CIR process and another characterized by
Xin‐Jiang He, Song‐Ping Zhu
semanticscholar +1 more source