Search Results - subject:"Variance swap"

Credit variance risk premiums

Ammann, Manuel; Mörke, Mathis - In: European financial management : the journal of the … 29 (2023) 4, pp. 1304-1335

Persistent link: https://www.econbiz.de/10014369332

The valuation of variance swaps with psychological barriers in the underlying dynamics

Song, Shiyu; Jiang, Yiming - In: The North American journal of economics and finance : a … 78 (2025), pp. 1-14

Persistent link: https://www.econbiz.de/10015434435

Pricing of variance swap rates and investment decisions of variance swaps : evidence from a three-factor model

Hong, Yi; Jin, Xing - In: European journal of operational research : EJOR 303 (2022) 2, pp. 975-985

Persistent link: https://www.econbiz.de/10013364052

Variance swaps with mean reversion and multi-factor variance

Wu, Bin; Chen, Pengzhan; Ye, Wuyi - In: European journal of operational research : EJOR 315 (2024) 1, pp. 191-212

Persistent link: https://www.econbiz.de/10014562821

Variance and volatility swaps and options under the exponential fractional Ornstein-Uhlenbeck model

Kim, Hyun-Gyoon; Kim, See-Woo; Kim, Jeong-Hoon - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014534851

Decomposing the VIX index into greed and fear

Serur, Juan Andrés; Dapena, José P.; Siri, Julián R. - 2021

Persistent link: https://www.econbiz.de/10012609583

Decomposing the VIX index into greed and fear

Serur, Juan Andrés; Dapena, José P.; Siri, Julián R. - 2021

Persistent link: https://www.econbiz.de/10012491391

A closed form solution for pricing variance swaps under the rescaled double Heston model

Yoon, Youngin; Kim, Jeong-Hoon - In: Computational economics 61 (2023) 1, pp. 429-450

Persistent link: https://www.econbiz.de/10014228437

VIX modeling for a market insider

Hess, Markus - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-27

Persistent link: https://www.econbiz.de/10014497258

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks 8 (2020) 3, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … financial market is complete and contains three primitive assets: a bank account, a stock and a variance swap, where the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …

Persistent link: https://www.econbiz.de/10013200603

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