On volatility swaps for stock market forecast: application example CAC 40 French Index

DOI10.1155/2014/854578zbMath1426.62309OpenAlexW2057191474WikidataQ59061441 ScholiaQ59061441MaRDI QIDQ1667389

Abdellah Lallouche, Halim Zeghdoudi, Mohamed Riad Remita

Publication date: 28 August 2018

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/854578

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A Theory of the Term Structure of Interest Rates
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic differential equations. An introduction with applications.

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