Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model
In this paper we investigate pricing of variance swaps contracts. The literature is mostly dedicated to the pricing using replication with portfolio of vanilla options. In some papers the valuation with stochastic volatility models is discussed as well. Stochastic volatility is becoming more and mor...
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| Format: | Others |
| Language: | English |
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Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)
2008
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2197 |