Pricing and hedging variance swaps using stochastic volatility models

Pricing and hedging variance swaps using stochastic volatility models

In this dissertation, the price of variance swaps under stochastic volatility models based on the work done by Barndorff-Nielsen and Shepard (2001) and Heston (1993) is discussed. The choice of these models is as a result of properties they possess which position them as an improvement to the tra...

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Bibliographic Details
Main Author: Bopoto, Kudakwashe
Other Authors: Mare, Eben
Language:en
Published: University of Pretoria 2020
Subjects:
UCTD
Stochastic volatility
Mathematical Finance
Variance Swaps
Pricing and Hedging
Online Access:http://hdl.handle.net/2263/73185
Bopoto, K 2019, Pricing and hedging variance swaps using stochastic volatility models, MSc (Financial Engineering) Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/73185>

Internet

http://hdl.handle.net/2263/73185
Bopoto, K 2019, Pricing and hedging variance swaps using stochastic volatility models, MSc (Financial Engineering) Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/73185>

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