Search Results - subject:"variance swap"

Variance swaps with deterministic and stochastic correlations

Han, Ah-Reum; Kim, Jeong-Hoon; Kim, See-Woo - In: Computational economics 57 (2021) 4, pp. 1059-1092

Persistent link: https://www.econbiz.de/10012543256

Corridor implied volatility and the variance risk premium in the Italian market

Muzzioli, Silvia - Dipartimento di Economia "Marco Biagi", Università … - 2011

Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko (2007) is obtained from model-free implied volatility by truncating the integration domain between two barriers. Corridor implied volatility is implicitly linked with the concept...

Persistent link: https://www.econbiz.de/10009364743

The term structure of equity and variance risk premia

Aït-Sahalia, Yacine; Karamann, Mustafa; Mancini, Loriano - In: Journal of econometrics 219 (2020) 2, pp. 204-230

Persistent link: https://www.econbiz.de/10012483319

Is the variance swap rate affine in the spot variance? : evidence from S&P500 data

Mancino, M. E.; Scotti, S.; Toscano, G. - In: Applied mathematical finance 27 (2020) 4, pp. 288-316

Persistent link: https://www.econbiz.de/10012425324

Volatility and variance swaps and options in the fractional SABR model

Kim, See-Woo; Kim, Jeong-Hoon - In: The European journal of finance 26 (2020) 17, pp. 1725-1745

Persistent link: https://www.econbiz.de/10012314649

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … that decomposes variance swap rates into expected variances and term premia. Empirically, we document a strong global … hypothesis that financial intermediaries are marginal investors in the variance swap market. …

Persistent link: https://www.econbiz.de/10011538019

Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate

Yang, Ben-Zhang; Yue, Jia; Huang, Nan-Jing - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10012030903

Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility

Kim, See-Woo; Kim, Jeong-Hoon - In: The North American journal of economics and finance : a … 48 (2019), pp. 149-169

Persistent link: https://www.econbiz.de/10012120223

It only takes a few moments to hedge options

Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David - In: Journal of economic dynamics & control 100 (2019), pp. 251-269

Persistent link: https://www.econbiz.de/10012130971

Rationale and mechanics for peak natural catastrophe variance swaps in insurance

Zvezdov, Ivelin M.; Rath, Sebastian - In: International journal of bonds and derivatives 4 (2018) 1, pp. 33-51

Persistent link: https://www.econbiz.de/10012253414