期刊
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE
卷 17, 期 1, 页码 -出版社
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S021902491450006X
关键词
Markov-modulated volatility; covariance swaps; correlation swaps; VIX index; VXN index; variance swaps; volatility swaps
In this paper, we price covariance and correlation swaps for financial markets with Markov-modulated volatilities. As an example, we consider stochastic volatility driven by a two-state continuous Markov chain. In this case, numerical examples are presented for VIX and VXN volatility indices (S&P 500 and NASDAQ-100, from January 2004 to June 2012). We also use VIX (January 2004 to June 2012) to price variance and volatility swaps for the two-state Markov-modulated volatility, and we present a numerical result in this case.
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