On volatility swaps for stock market forecast: application example CAC 40 French Index (Q1667389)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On volatility swaps for stock market forecast: application example CAC 40 French Index |
scientific article |
Statements
On volatility swaps for stock market forecast: application example CAC 40 French Index (English)
0 references
28 August 2018
0 references
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.
0 references
0 references
