A Comparison of Jump Models for Volatility Derivatives

碩士 === 國立交通大學 === 財務金融研究所 === 99 === We propose a random intensity model of Heston’s stochastic volatility where jump frequency is volatility-dependent for the pricing of variance swaps. The fair continuous variance strike and the fair discrete variance strike in the RI model are both derived and ve...

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Bibliographic Details
Main Authors:	Lu, Chih-Wei, 陸志瑋
Other Authors:	Guo, Jia-Hau
Format:	Others
Language:	en_US
Published:	2010
Online Access:	http://ndltd.ncl.edu.tw/handle/75130083098275526486

id	ndltd-TW-099NCTU5304029
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spelling	ndltd-TW-099NCTU53040292015-10-13T20:37:26Z http://ndltd.ncl.edu.tw/handle/75130083098275526486 A Comparison of Jump Models for Volatility Derivatives 方差交換的跳躍模型比較 Lu, Chih-Wei 陸志瑋碩士國立交通大學財務金融研究所 99 We propose a random intensity model of Heston’s stochastic volatility where jump frequency is volatility-dependent for the pricing of variance swaps. The fair continuous variance strike and the fair discrete variance strike in the RI model are both derived and verified by Monte Carlo simulation. We investigate the effect of random intensity on variance swaps. Numerical results show that fair variance strike in the either case of discrete and continuous sampling will increasing when the volatility-dependent part of jumps frequency is increases. Guo, Jia-Hau 郭家豪 2010 學位論文 ; thesis 33 en_US
collection	NDLTD
language	en_US
format	Others
sources	NDLTD
description	碩士 === 國立交通大學 === 財務金融研究所 === 99 === We propose a random intensity model of Heston’s stochastic volatility where jump frequency is volatility-dependent for the pricing of variance swaps. The fair continuous variance strike and the fair discrete variance strike in the RI model are both derived and verified by Monte Carlo simulation. We investigate the effect of random intensity on variance swaps. Numerical results show that fair variance strike in the either case of discrete and continuous sampling will increasing when the volatility-dependent part of jumps frequency is increases.
author2	Guo, Jia-Hau
author_facet	Guo, Jia-Hau Lu, Chih-Wei 陸志瑋
author	Lu, Chih-Wei 陸志瑋
spellingShingle	Lu, Chih-Wei 陸志瑋 A Comparison of Jump Models for Volatility Derivatives
author_sort	Lu, Chih-Wei
title	A Comparison of Jump Models for Volatility Derivatives
title_short	A Comparison of Jump Models for Volatility Derivatives
title_full	A Comparison of Jump Models for Volatility Derivatives
title_fullStr	A Comparison of Jump Models for Volatility Derivatives
title_full_unstemmed	A Comparison of Jump Models for Volatility Derivatives
title_sort	comparison of jump models for volatility derivatives
publishDate	2010
url	http://ndltd.ncl.edu.tw/handle/75130083098275526486
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A Comparison of Jump Models for Volatility Derivatives

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