publication . Bachelor thesis . 2017

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

Röring, Johan;
Open Access English
  • Published: 01 Jan 2017
  • Publisher: Umeå universitet, Institutionen för matematik och matematisk statistik
  • Country: Sweden
Abstract
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 exposure to an asset’s volatility. Two kinds of volatility derivatives are volatility swaps and variance swaps. The problem with volatility swaps and variance swaps is that they require estimations of the future variance and volatility, which are used as the strike price for a contract. This thesis will manage that difficulty and estimate strike prices with several different models. I will de- scribe ...
Subjects
free text keywords: Mathematics, Matematik
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