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

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!