A variance swap is an instrument which allows investors to trade future realized (historical) volatility against current implied volatility. The Variance Swap pays the difference between observed variance and a strike variance, possibly subject to a cap and a floor. The observed variance is computed from the stock price returns over a series of specified sampling dates
Although variance swaps have become an important financial derivative to hedge against volatility ri...
Most of the existing pricing models of variance derivative products assume continuous sampling of th...
Variance risk premia are computed based on the VIX methodology for four stock indices and five singl...
A variance swap is an instrument which allows investors to trade future realized (historical) volati...
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options c...
Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. How...
Abstract—Following the pricing approach proposed by Zhu & Lian [19], we present an exact solutio...
Most of the existing pricing models of variance derivative products assume contin-uous sampling of t...
We propose a direct and robust method for quantifying the variance risk premium on financial assets....
Volatility is a common risk measure in the field of finance that describes the magnitude of an asset...
This study presents a set of closed-form exact solutions for pricing discretely sampled variance swa...
Volatility/variance has become an asset class in its own right. In late 1990s, Wall Street firms sta...
In this dissertation, the price of variance swaps under stochastic volatility models based on the w...
Although variance swaps have become an important financial derivative to hedge against volatility ri...
Most of the existing pricing models of variance derivative products assume continuous sampling of th...
Variance risk premia are computed based on the VIX methodology for four stock indices and five singl...
A variance swap is an instrument which allows investors to trade future realized (historical) volati...
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options c...
Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. How...
Abstract—Following the pricing approach proposed by Zhu & Lian [19], we present an exact solutio...
Most of the existing pricing models of variance derivative products assume contin-uous sampling of t...
We propose a direct and robust method for quantifying the variance risk premium on financial assets....
Volatility is a common risk measure in the field of finance that describes the magnitude of an asset...
This study presents a set of closed-form exact solutions for pricing discretely sampled variance swa...
Volatility/variance has become an asset class in its own right. In late 1990s, Wall Street firms sta...
In this dissertation, the price of variance swaps under stochastic volatility models based on the w...
Although variance swaps have become an important financial derivative to hedge against volatility ri...
Most of the existing pricing models of variance derivative products assume continuous sampling of th...
Variance risk premia are computed based on the VIX methodology for four stock indices and five singl...
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