Essays about: "Danijela Petkovic"

Found 1 essay containing the words Danijela Petkovic.

  1. 1. Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Danijela Petkovic; [2008]
    Keywords : Variance swaps; Heston model; Stochastic volatility;

    Abstract : In this paper we investigate pricing of variance swaps contracts. The literature is mostly dedicated to the pricing using replication with portfolio of vanilla options. In some papers the valuation with stochastic volatility models is discussed as well. Stochastic volatility is becoming more and more interesting to the investors. READ MORE