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On volatility swaps for stock market forecast: Application example CAC 40 French Index
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نویسنده
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zeghdoudi h. ,lallouche a. ,remita m.r.
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منبع
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journal of probability and statistics - 2014 - دوره : 2014 - شماره : 0
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چکیده
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This paper focuses on the pricing of variance and volatility swaps under heston model (1993). to this end,we apply this model to the empirical financial data: cac 40 french index. more precisely,we make an application example for stock market forecast: cac 40 french index to price swap on the volatility using garch(1,1) model. © 2014 halim zeghdoudi et al.
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آدرس
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laps laboratory,badji-mokhtar university,bp 12,annaba,algeria,department of computing mathematics and physics,waterford institute of technology, Ireland, université 20 aout, Algeria, laps laboratory,badji-mokhtar university,bp 12, Algeria
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Authors
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