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Price Pseudo-Variance, Pseudo-Covariance, Pseudo-Volatility, and Pseudo-Correlation Swaps - In Analytical Closed-Forms

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
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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