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  • Search: subject:"pseudo-swaps"
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Analysis of variance 1 Apfel 1 Apple 1 Apple and Google data 1 CIR model 1 Correlation 1 Estimation theory 1 Korrelation 1 Schätztheorie 1 Swap 1 Varianzanalyse 1 Volatility 1 Volatilität 1 correlation swaps 1 covariance 1 pseudo-statistics 1 pseudo-swaps 1 variance 1 volatility 1
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Franco, Sebastian 1 Sviščuk, Anatolij 1
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Risks : open access journal 1
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Pricing of pseudo-swaps based on pseudo-statistics
Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30
The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities. Thus, sometimes it is simpler to consider pricing of swaps by so-called pseudo-statistics, namely, the...
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