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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2014/854578 |