COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES

DOI10.1142/S021902491450006XzbMath1290.91167OpenAlexW2011549874MaRDI QIDQ5411990

Giovanni Salvi, Anatoliy Swishchuk

Publication date: 25 April 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491450006x

zbMATH Keywords

variance swapsvolatility swapsVIX indexcorrelation swapscovariance swapsMarkov-modulated volatilityVXN index

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING ⋮ Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk

Cites Work

• Hidden Markov models in finance
• Pricing options on realized variance
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• On the pricing and hedging of volatility derivatives
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

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