relation: http://miis.maths.ox.ac.uk/miis/174/
title: Price Pseudo-Variance, Pseudo-Covariance, Pseudo-Volatility, and Pseudo-Correlation Swaps - In Analytical Closed-Forms
creator: Cheng, Raymond K.
creator: Lawi, Stéphan
creator: Swishchuck, Anatoliy
subject: Finance
description: In the usual complete market framework, the unique prices of swaps involving so-called pseudo-statistics can be computed as the mathematical expectation of the discounted payoffs under the measure in which the discounted rate process is a  martingale. In this report, we present analytic formulas for these expectations for the pseudo-variance and pseudo-volatility swaps, as requested by the problem statement. Also, we use Monte-Carlo simulation to experiment with a stochastic volatility model.
date: 2002
type: Study Group Report
type: NonPeerReviewed
format: application/pdf
language: en
identifier: http://miis.maths.ox.ac.uk/miis/174/1/RBC.pdf
identifier:   Cheng, Raymond K. and Lawi, Stéphan and Swishchuck, Anatoliy  (2002) Price Pseudo-Variance, Pseudo-Covariance, Pseudo-Volatility, and Pseudo-Correlation Swaps - In Analytical Closed-Forms.  [Study Group Report]