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...

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Main Authors: Halim Zeghdoudi, Abdellah Lallouche, Mohamed Riad Remita
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:Journal of Probability and Statistics
Online Access:http://dx.doi.org/10.1155/2014/854578
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spelling doaj-3bfea0c830614452ad77147bb9ca1af42020-11-24T22:46:48ZengHindawi LimitedJournal of Probability and Statistics1687-952X1687-95382014-01-01201410.1155/2014/854578854578On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French IndexHalim Zeghdoudi0Abdellah Lallouche1Mohamed Riad Remita2LaPS Laboratory, Badji-Mokhtar University, BP 12, 23000 Annaba, AlgeriaUniversité 20 Aout, 1955 Skikda, AlgeriaLaPS Laboratory, Badji-Mokhtar University, BP 12, 23000 Annaba, AlgeriaThis 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 volatility using GARCH(1,1) model.http://dx.doi.org/10.1155/2014/854578
collection DOAJ
language English
format Article
sources DOAJ
author Halim Zeghdoudi
Abdellah Lallouche
Mohamed Riad Remita
spellingShingle Halim Zeghdoudi
Abdellah Lallouche
Mohamed Riad Remita
On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
Journal of Probability and Statistics
author_facet Halim Zeghdoudi
Abdellah Lallouche
Mohamed Riad Remita
author_sort Halim Zeghdoudi
title On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
title_short On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
title_full On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
title_fullStr On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
title_full_unstemmed On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
title_sort on volatility swaps for stock market forecast: application example cac 40 french index
publisher Hindawi Limited
series Journal of Probability and Statistics
issn 1687-952X
1687-9538
publishDate 2014-01-01
description 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 volatility using GARCH(1,1) model.
url http://dx.doi.org/10.1155/2014/854578
work_keys_str_mv AT halimzeghdoudi onvolatilityswapsforstockmarketforecastapplicationexamplecac40frenchindex
AT abdellahlallouche onvolatilityswapsforstockmarketforecastapplicationexamplecac40frenchindex
AT mohamedriadremita onvolatilityswapsforstockmarketforecastapplicationexamplecac40frenchindex
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