Search Results - subject:"Variance Swaps"

MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX

FUKASAWA, M.; ISHIDA, I.; MAGHREBI, N.; OYA, K.; UBUKATA, M. - In: International Journal of Theoretical and Applied … 14 (2011) 04, pp. 433-463

We propose a new method for approximating the expected quadratic variation of an asset based on its option prices. The quadratic variation of an asset price is often regarded as a measure of its volatility, and its expected value under pricing measure can be understood as the market's...

Persistent link: https://www.econbiz.de/10009194523

HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS

FONSECA, JOSÉ DA; GRASSELLI, MARTINO; IELPO, FLORIAN - In: International Journal of Theoretical and Applied … 14 (2011) 06, pp. 899-943

in the stocks but also in the associated variance swaps. We solve this optimal portfolio allocation program using the … shows how variance swaps can implicitly span the covariance risk. We provide the explicit solution to the portfolio … that is mostly driven by the market price of volatility-covolatility risks. It is then strongly leveraged through variance …

Persistent link: https://www.econbiz.de/10009320904

VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS

LO, HARRY; MIJATOVIĆ, ALEKSANDAR - In: International Journal of Theoretical and Applied … 14 (2011) 07, pp. 1159-1193

It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset price process S is Markov with càdlàg paths and...

Persistent link: https://www.econbiz.de/10009393849

Volatility derivatives in market models with jumps

Lo, Harry; Mijatović, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193

Persistent link: https://www.econbiz.de/10009407653

Hedging (co)variance risk with variance swaps

Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943

Persistent link: https://www.econbiz.de/10009380996

Model-free implied volatility : from surface to index

Fukasawa, Masaaki; Ishida, I.; Maghrebi, N.; Oya, Kosuke; … - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 433-463

Persistent link: https://www.econbiz.de/10009269385

Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case

Itkin, Andrey; Carr, Peter - In: Review of Derivatives Research 13 (2010) 2, pp. 141-176

Persistent link: https://www.econbiz.de/10008526467

A forward started jump-diffusion model and pricing of cliquet style exotics

Drimus, Gabriel - In: Review of Derivatives Research 13 (2010) 2, pp. 125-140

Persistent link: https://www.econbiz.de/10008526468

THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS

BROADIE, MARK; JAIN, ASHISH - In: International Journal of Theoretical and Applied … 11 (2008) 08, pp. 761-797

We investigate the effect of discrete sampling and asset price jumps on fair variance and volatility swap strikes. Fair discrete volatility strikes and fair discrete variance strikes are derived in different models of the underlying evolution of the asset price: the Black-Scholes model, the...

Persistent link: https://www.econbiz.de/10005060190

Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

Elliott, Robert; Siu, Tak Kuen; Chan, Leunglung - In: Applied Mathematical Finance 14 (2007) 1, pp. 41-62

A model is developed for pricing volatility derivatives, such as variance swaps and volatility swaps under a continuous …

Persistent link: https://www.econbiz.de/10005279052