On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
Joint Authors
Zeghdoudi, Halim
Lallouche, Abdellah
Remita, Mohamed Riad
Source
Journal of Probability and Statistics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-11-09
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Zeghdoudi, Halim& Lallouche, Abdellah& Remita, Mohamed Riad. 2014. On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index. Journal of Probability and Statistics،Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-1042851
Modern Language Association (MLA)
Zeghdoudi, Halim…[et al.]. On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index. Journal of Probability and Statistics No. 2014 (2014), pp.1-6.
https://search.emarefa.net/detail/BIM-1042851
American Medical Association (AMA)
Zeghdoudi, Halim& Lallouche, Abdellah& Remita, Mohamed Riad. On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index. Journal of Probability and Statistics. 2014. Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-1042851
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1042851
