On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index

On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index

This paper focuses on the pricing of variance and volatility swaps under Heston model (1993). To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast: CAC 40 French Index to price swap on the vola...

Full description

Saved in:
Bibliographic Details
Main Authors: Halim Zeghdoudi, Abdellah Lallouche, Mohamed Riad Remita
Format: Article
Language:English
Published: Wiley 2014-01-01
Series:Journal of Probability and Statistics
Online Access:http://dx.doi.org/10.1155/2014/854578
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items

Similar Items