Volatility Swaps
Mostrando 1-2 de 2 artigos, teses e dissertações.
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1. Futuros de swap de variância e volatilidade na BM&F - apreçamento e viabilidade de hedge / Variance and volatility swaps future contracts in BM&F pricing and hedge viability
A variance swap can theoretically be priced with na infinite string of vanilla call and put options if we consider that realized variance follows a purely diffusive process with continuous monitoring. In this dissertation, we will address the possible pricing differences that may arise if we consider that realized variance is discretely monitored. It will be
Publicado em: 2009
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2. Apreçamento de créditos de carbono por meio de modelos estocásticos: European Allowances Units da segunda fase do European Union Emission Trade Scheme / Valuation of carbon credits through stochastic models: 2nd phase European Allowances Units of the European Union Emission Trade Scheme
In 2006, the carbon credit global market has negotiated around 22.5 billions (twenty two billions and five hundred million euros), equivalent to 1.6 billions tons of CO2 credits or allowances. Due to the importance of this new market, starting from an adapted version of the models and methodology of Xu (2004), this monograph empirical evaluate through daily
Publicado em: 2007