The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
نویسندگان
چکیده
منابع مشابه
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
This paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation, respectively. The highly negative estimate for the market ...
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This paper features a market implied methodology to infer adequate starting values for the spot and long run variances and for the mean reversion rate of a calibration exercise under the Heston model. More particularly, these initial parameters are obtained by matching the term structure of the future expected total variance, inferred from the volatility surface, with the model’s term structure...
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2010
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109010000463