Title: Volatility Derivatives - Variance and Volatility Swaps
Abstract: We give a comprehensive overview of volatility derivatives including the history behind it, the applications as well as pricing procedures in various models. Given these models we also apply market data to approach some empirical evidence, estimating and evaluating the performance of the models in the frame of variance and volatility swaps.
Publication Year: 2015
Publication Date: 2015-01-01
Language: en
Type: article
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Cited By Count: 1
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