Javaheri, Alireza; Wilmott, Paul; Haug, Espen - In: Quantitative Finance 4 (2004) 5, pp. 589-595
This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH (1,1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or...