Variance swap dynamics
We compare several parametric and non-parametric approaches for modelling variance swap curves by conducting an in-sample and an out-of-sample analysis using market prices. The forecasted Heston model gives the best overall performance. Moreover, the static Heston model highlights some problems of stochastic volatility models in option pricing of forward starting products.
Year of publication: |
2012
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Authors: | Detlefsen, K. ; Härdle, W. K. |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 13.2012, 5, p. 675-685
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Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
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