Cheng, Raymond K. and Lawi, Stéphan and Swishchuck, Anatoliy (2002) Price Pseudo-Variance, Pseudo-Covariance, Pseudo-Volatility, and Pseudo-Correlation Swaps - In Analytical Closed-Forms. [Study Group Report]
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Abstract
In the usual complete market framework, the unique prices of swaps involving so-called pseudo-statistics can be computed as the mathematical expectation of the discounted payoffs under the measure in which the discounted rate process is a martingale. In this report, we present analytic formulas for these expectations for the pseudo-variance and pseudo-volatility swaps, as requested by the problem statement. Also, we use Monte-Carlo simulation to experiment with a stochastic volatility model.
Item Type: | Study Group Report |
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Problem Sectors: | Finance |
Study Groups: | Canadian Industrial Problem Solving Workshops > IPSW 6 (Vancouver, Canada, May 27-31, 2002) |
Company Name: | RBC Financial Group |
ID Code: | 174 |
Deposited By: | Michele Taroni |
Deposited On: | 13 Oct 2008 |
Last Modified: | 29 May 2015 19:48 |
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