Arithmetic variance swaps

DOI10.1080/14697688.2016.1212167zbMath1402.91798OpenAlexW2513114165MaRDI QIDQ4555097

Stamatis Leontsinis, Carol Alexander

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/62303/1/__smbhome.uscs.susx.ac.uk_qlfd7_Desktop_Arithmetic%20Variance%20Swaps_OAversion.pdf

zbMATH Keywords

kurtosisskewnessrealized varianceVIXvolatility indexHermite splinemodel freefourth moment swapthird moment swapVFTSE

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps, A general property for time aggregation

Uses Software

• pchip

Cites Work

• The Pricing of Options and Corporate Liabilities
• Variance trading and market price of variance risk
• Stochastic calculus for finance. II: Continuous-time models.
• Discretely sampled variance and volatility swaps versus their continuous approximations
• Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
• Market Timing with Option-Implied Distributions: A Forward-Looking Approach
• Valuation of volatility derivatives as an inverse problem
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Monotone Piecewise Cubic Interpolation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A practical guide to splines.