Browsing Mathematics and Applied Mathematics by Subject "Variance Swaps"

Browsing Mathematics and Applied Mathematics by Subject "Variance Swaps"

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  • Pricing and hedging variance swaps using stochastic volatility models 
    Bopoto, Kudakwashe (University of Pretoria, 2019)
    In this dissertation, the price of variance swaps under stochastic volatility models based on the work done by Barndorff-Nielsen and Shepard (2001) and Heston (1993) is discussed. The choice of these models is as a result ...