On volatility swaps for stock market forecast: application example CAC 40 French Index (Q1667389): Difference between revisions

Summary: This paper focuses on the pricing of variance and volatility swaps under \textit{S. L. Heston}'s model [Rev. Financ. Stud. 6, No. 2, 327--343 (1993; Zbl 1384.35131)]. To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast: CAC 40 French Index to price swap on the volatility using GARCH(1,1) model.