Volatility and Variance Swaps for the COGARCH(1,1) Model
โ Scribed by Anatoliy Swishchuk; Matthew Couch
- Book ID
- 115563835
- Publisher
- Wiley (John Wiley & Sons)
- Year
- 2010
- Weight
- 330 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1759-6351
- DOI
- 10.1002/wilj.34
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This study proposes a double-jump stochastic volatility model with stochastic interest rates to price capped equity swaps and other multi-period derivative securities. Closed-form solutions for capped equity swaps with a fixed or variable notional principle are derived. In addition, numerical exampl
## ABSTRACT Volatility forecasting remains an active area of research with no current consensus as to the model that provides the most accurate forecasts, though Hansen and Lunde (2005) have argued that in the context of daily exchange rate returns nothing can beat a GARCH(1,1) model. This paper ex