Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data

DOI10.1080/1350486X.2020.1847671zbMath1466.91348arXiv2004.04015MaRDI QIDQ4994351

Maria Elvira Mancino, Giacomo Toscano, Simone Scotti

Publication date: 17 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.04015

zbMATH Keywords

polynomial modelsvariance swapspot varianceexponential affine modelsexponential mean-reverting variance models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The Alpha‐Heston stochastic volatility model

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