Variance Swap for Local Lévy-Based Stochastic Volatility with Delay

Anatoliy Swishchuk
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Anatoliy Swishchuk: University of Calgary, Canada

Chapter 10 in Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 2013, pp 137-149 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionVariance Swap for Lévy-Based Stochastic Volatility with DelayExamplesExample 1 (Variance Gamma)Example 2 (Tempered Stable)Example 3 (Jump-Diffusion)Example 4 (Kou’s Jump-Diffusion)Parameter EstimationNumerical Example: S&P500 (2000-01-01 2009-12-31)SummaryBibliography

Keywords: Stochastic Volatilities; Variance; Volatility; Covariance; Correlation Swaps; Change of Time; Option Pricing; Stochastic Volatilities with Delay; Multi-Factor Stochastic Volatilities Models; Regime-Switching Stochastic Volatilities; Levy-Based Stochastic Volatilities with Delay; COGARCH Stochastic Volatility; Stochastic Volatility Driven by Fractional Brownian Motion; Delayed Heston Model; Semi-Markov Stochastic Volatilities; Energy Markets; Forward and Futures in Energy Markets (search for similar items in EconPapers)
Date: 2013
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