منابع مشابه
Weighted Variance Swap
Let the underlying process Y be a semimartingale taking values in an interval I. Let φ : I → R be a difference of convex functions, and let X := φ(Y ). A typical application takes Y to be a positive price process and φ(y) = log y for y ∈ I = (0,∞). Then [the floating leg of] a forward-starting weighted variance swap or generalized variance swap on φ(Y ) (shortened to “on Y ” if the φ is underst...
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If the contract makes dividend adjustments (as typical for contracts on single stocks but not on indices), then the term inside the parentheses becomes log((Yn+Dn)/Yn−1), where Dn denotes the dividend payment, if any, of the nth period. Corridor variance swaps accumulate only the variance that occurs while price is in the corridor. The buyer therefore pays less than the cost of a full variance ...
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This paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation, respectively. The highly negative estimate for the market ...
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This paper features a market implied methodology to infer adequate starting values for the spot and long run variances and for the mean reversion rate of a calibration exercise under the Heston model. More particularly, these initial parameters are obtained by matching the term structure of the future expected total variance, inferred from the volatility surface, with the model’s term structure...
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This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility (SVV): Volatility modulated non–Gaussian Ornstein–Uhlenbeck (VMOU) processes. Various probabilistic properties of (integrated) VMOU processes are presented. Further we study the effect of the SVV on the leverage effect and on the presence of long memory. One of the key results ...
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ژورنال
عنوان ژورنال: Derivatives Use, Trading & Regulation
سال: 2006
ISSN: 1357-0927,1747-4426
DOI: 10.1057/palgrave.dutr.1840030