Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

Bachelor thesis English OPEN
Röring, Johan (2017)
  • Publisher: Umeå universitet, Institutionen för matematik och matematisk statistik
  • Subject: Mathematics | Matematik

Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated expo... View more
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