Department of Mathematics and Statistics at the Faculty of Science
University of Calgary
Smiling for the Delayed Volatility Swaps
Submitted by jlongwor on Fri, 02/03/2012 - 5:27pm.
Feb 9 2012 - 12:00pm
Feb 9 2012 - 12:50pm
Speaker:
Nelson Vadori
Location:
MS 431Using change of time method, we derive a closed-form formula for the volatility swap in an adjusted version of the Heston model with stochastic volatility with delay. The numerical result is presented for underlying EURUSD on September 30th 2011. The novelty of the result is two-fold: application of change of time method to the delayed Heston model and calculation of the volatility swap for this model.