On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index

Halim Zeghdoudi, Abdellah Lallouche and Mohamed Riad Remita

Journal of Probability and Statistics, 2014, vol. 2014, 1-6

Abstract:

This paper focuses on the pricing of variance and volatility swaps under Heston model (1993). To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast: CAC 40 French Index to price swap on the volatility using GARCH(1,1) model.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:854578

DOI: 10.1155/2014/854578

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