Variance swap dynamics

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 s...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Quantitative finance 2013-05, Vol.13 (5), p.675-685
Hauptverfasser: Detlefsen, K., Härdle, W. K.
Format: Artikel
Sprache:eng
Schlagworte:
Comparative studies
Empirical finance
Equities
Market prices
Parameter estimation
Stochastic models
Swap arrangements
Term structure
Volatility
Volatility modelling
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:1469-7688
1469-7696
DOI:10.1080/14697688.2012.749420