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  • 标题:On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
  • 本地全文:下载
  • 作者:Halim Zeghdoudi ; Abdellah Lallouche ; Mohamed Riad Remita
  • 期刊名称:Journal of Probability and Statistics
  • 印刷版ISSN:1687-952X
  • 电子版ISSN:1687-9538
  • 出版年度:2014
  • 卷号:2014
  • DOI:10.1155/2014/854578
  • 出版社:Hindawi Publishing Corporation
  • 摘要: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.
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