Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatilities
نویسنده
چکیده
A new probabilistic approach is proposed to study variance and volatility swaps for financial markets with underlying asset and variance that follow the Heston (1993) model. We also study covariance and correlation swaps for the financial markets. As an application, we provide a numerical example using S&P60 Canada Index to price swap on the volatility.
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تاریخ انتشار 2004