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P J Venter, E Maré
Pág. 136
Volatiliteitsindekse en afgeleides van volatiliteitsindekse het die afgelope paar jaar gewild vir die bestuur van risiko geword. Die fokus van hierdie studie is die verskansing van Standard and Poor?s 500- (S&P500) volatiliteitsindeks- (VIX) termynop...
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Kejing Zhao, Jinliang Zhang and Qing Liu
The reasonable pricing of options can effectively help investors avoid risks and obtain benefits, which plays a very important role in the stability of the financial market. The traditional single option pricing model often fails to meet the ideal expect...
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Chong Sun and Qin Sheng
This paper studies an effective finite difference scheme for solving two-dimensional Heston stochastic volatility option-pricing model problems. A dynamically balanced up-downwind strategy for approximating the cross-derivative is implemented and analyze...
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Long Teng, Matthias Ehrhardt and Michael Günther
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Laura Camila Roldán Martínez
Pág. 166 - 189
AbstractDownloadsReferencesHow to Cite
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Alan De Genaro Dario
Pág. pp. 203 - 228
Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated b...
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Marcelo Nóbrega da Costa,Joe Akira Yoshino
Pág. pp. 23 - 46
Despite the relatively recent advance in the derivative industry, the European FX option market uses simple models such as Black (1976) or Garman and Kohlhagen (1983). This widespread practice hides very important quantitative effects that could be bette...
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