Variance and volatility swaps in energy markets

Anatoliy Swishchuk

Journal of Energy Markets

Abstract: ABSTRACT This paper focuses on the pricing of variance and volatility swaps in the energy market. An explicit variance swap formula and a closed-form volatility swap formula (using the Brockhaus-Long approximation) for energy assets with stochastic volatility are found. These formulas follow the continuous-time generalized autoregressive conditional heteroskedasticity (1,1) (GARCH(1,1)) model (meanreverting) or the Pilipovic one-factor model. A numerical example is presented for the AECO natural gas index.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-energy-markets/225 ... ps-in-energy-markets (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ2:2253341

Access Statistics for this article

More articles in Journal of Energy Markets from Journal of Energy Markets
Bibliographic data for series maintained by Thomas Paine ().