{"title":"VALUATION, HEDGING, AND BOUNDS OF SWAPS UNDER MULTI-FACTOR BNS-TYPE STOCHASTIC VOLATILITY MODELS","authors":"Aziz Issaka","doi":"10.1142/s2010495220500074","DOIUrl":null,"url":null,"abstract":"In this paper, we consider price weighted-volatility swap and price weighted-variance swap. The underlying asset considered in this paper is assumed to follow a general stochastic differential equa...","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"15 1","pages":"2050007"},"PeriodicalIF":2.0000,"publicationDate":"2020-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/s2010495220500074","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Financial Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/s2010495220500074","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"0","JCRName":"ECONOMICS","Score":null,"Total":0}
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Abstract
In this paper, we consider price weighted-volatility swap and price weighted-variance swap. The underlying asset considered in this paper is assumed to follow a general stochastic differential equa...
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