Author : Semere Habtemicael
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Book Synopsis Pricing Variance and Volatility Swaps for Barndorff-Nielsen and Shephard Process Driven Financial Markets by : Semere Habtemicael
Download or read book Pricing Variance and Volatility Swaps for Barndorff-Nielsen and Shephard Process Driven Financial Markets written by Semere Habtemicael and published by . This book was released on 2016 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this paper is to study the arbitrage free pricing of variance and volatility swaps for Barndorff-Nielsen and Shephard type Lévy process driven financial markets. One of the major challenges in arbitrage free pricing of swap is to obtain an accurate pricing expression which can be used with good computational accuracy. In this paper we obtain various approximate expressions for the pricing of volatility and variance swaps. We show that with the approximate formulas obtained from the Barndorff-Nielsen and Shephard model the error estimation in fitting the delivery price is much less than the existing models with comparable parameters. Pricing formulas proposed in this paper are simple to compute in real time and hence can be efficiently used in practical applications. Numerical results are provided in support of the accuracy of approximate formulas presented in this paper.