Pricing and hedging variance swaps using stochastic volatility models
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 of properties they possess which position them as an improvement to the tra...
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| Language: | en |
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University of Pretoria
2020
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| Online Access: | http://hdl.handle.net/2263/73185 Bopoto, K 2019, Pricing and hedging variance swaps using stochastic volatility models, MSc (Financial Engineering) Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/73185> |