Related Books

An Empirical Analysis of Random Intensity Impact on Variance Swaps Under Stochastic Volatility
Language: en
Pages: 0
An Empirical Analysis of Variance Swaps Under Stochastic Volatility and Jumps
Language: en
Pages:
Authors:
Categories:
Type: BOOK - Published: 2013 - Publisher:

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A Unified Valuation Framework for Variance Swaps Under Non-Affine Stochastic Volatility Models
Language: en
Pages: 38
Authors: Alex Badescu
Categories:
Type: BOOK - Published: 2017 - Publisher:

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In this article, we investigate the pricing and convergence of general non-affine non-Gaussian GARCH-based variance swap prices. Explicit solutions for fair str
Variance Swap Premium Under Stochastic Volatility and Self-exciting Jumps
Language: en
Pages: 0
Authors: Ke Chen (Economist)
Categories: Risk-return relationships
Type: BOOK - Published: 2013 - Publisher:

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Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
Language: en
Pages: 38
Authors: Chi Seng Pun
Categories:
Type: BOOK - Published: 2020 - Publisher:

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This paper examines variance swap pricing using a model that integrates three major features of financial assets, namely the mean reversion in asset price, mult