Αναπαραγωγή συμβάσεων ανταλλαγής διακύμανσης
KeywordsΣυμβάσεις ανταλλαγής διακύμανσης ; Συμβάσεις ανταλλαγής μεταβλητότητας ; Μέθοδος Derman ; Μέθοδος Trapezoidal ; Μέθοδος Simpson ; Εμπειρική μελέτη ; Εκτίμηση παραμέτρων
This thesis aims to study and compare empirically the various valuation methods of variance and volatility swaps. At the beginning, a historical review of derivative securities including volatility-variance swaps is presented. These are financial derivatives used by investors to speculate or hedge against the risk of price fluctuations, since they are the only contracts that focus directly on the volatility of the underline asset. Furthermore, a detailed description of these swaps follows together with their general valuation formula. In particular, both the discrete valuation methods of Derman, Trapezoidal, and Simpson and the continuous valuation method are presented. In addition, an empirical study is presented using the computational program of MATLAB with respect to estimating the volatility from market data that have been collected from the Bloomberg database. Finally, using option market prices, each method is compared separately against the option prices that have been estimated, leading to conclusions about their accuracy.