{"title":"具有马尔可夫调制波动率的金融市场的协方差和相关掉期","authors":"Giovanni Salvi, A. Swishchuk","doi":"10.2139/ssrn.2103304","DOIUrl":null,"url":null,"abstract":"In this paper, we price covariance and correlation swaps for financial markets with Markov-modulated volatilities. As an example, we consider stochastic volatility driven by a two-state continuous Markov chain. In this case, numerical examples are presented for VIX and VXN volatility indices (S&P 500 and NASDAQ-100, from January 2004 to June 2012). We also use VIX (January 2004 to June 2012) to price variance and volatility swaps for the two-state Markov-modulated volatility, and we present a numerical result in this case.","PeriodicalId":280702,"journal":{"name":"ERN: Econometric Studies of Derivatives Markets (Topic)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"9","resultStr":"{\"title\":\"Covariance and Correlation Swaps for Financial Markets with Markov-Modulated Volatilities\",\"authors\":\"Giovanni Salvi, A. Swishchuk\",\"doi\":\"10.2139/ssrn.2103304\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we price covariance and correlation swaps for financial markets with Markov-modulated volatilities. As an example, we consider stochastic volatility driven by a two-state continuous Markov chain. In this case, numerical examples are presented for VIX and VXN volatility indices (S&P 500 and NASDAQ-100, from January 2004 to June 2012). We also use VIX (January 2004 to June 2012) to price variance and volatility swaps for the two-state Markov-modulated volatility, and we present a numerical result in this case.\",\"PeriodicalId\":280702,\"journal\":{\"name\":\"ERN: Econometric Studies of Derivatives Markets (Topic)\",\"volume\":\"42 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-09-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Econometric Studies of Derivatives Markets (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2103304\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Econometric Studies of Derivatives Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2103304","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Covariance and Correlation Swaps for Financial Markets with Markov-Modulated Volatilities
In this paper, we price covariance and correlation swaps for financial markets with Markov-modulated volatilities. As an example, we consider stochastic volatility driven by a two-state continuous Markov chain. In this case, numerical examples are presented for VIX and VXN volatility indices (S&P 500 and NASDAQ-100, from January 2004 to June 2012). We also use VIX (January 2004 to June 2012) to price variance and volatility swaps for the two-state Markov-modulated volatility, and we present a numerical result in this case.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
