GARCH and volatility swaps

DOI10.1080/14697680400008700zbMath1405.91578OpenAlexW2044516150MaRDI QIDQ4610268

Espen Gaarder Haug, Javaheri Alireza, Paul Wilmott

Publication date: 15 January 2019

Full work available at URL: https://doi.org/10.1080/14697680400008700

zbMATH Keywords

hedgingpartial differential equationGARCHvolatility swaps

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (14)

Pricing double volatility barriers option under stochastic volatility ⋮ Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index ⋮ S&P 500 volatility, volatility regimes, and economic uncertainty ⋮ Pricing forward-start variance swaps with stochastic volatility ⋮ AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS ⋮ VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING ⋮ Pricing variance swaps under hybrid CEV and stochastic volatility ⋮ A superconvergent partial differential equation approach to price variance swaps under regime switching models ⋮ Volatility swaps and volatility options on discretely sampled realized variance ⋮ On the valuation of variance swaps with stochastic volatility ⋮ Closed-form variance swap prices under general affine GARCH models and their continuous-time limits ⋮ Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model ⋮ Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? ⋮ On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures

Cites Work

• ARCH models as diffusion approximations

This page was built for publication: GARCH and volatility swaps