<p>In this paper we investigate pricing of variance swaps contracts. The</p><p>literature is mostly dedicated to the pricing using replication with</p><p>portfolio of vanilla options. In some papers the valuation with stochastic</p><p>volatility models is discussed as well. Stochastic volatility is becoming</p><p>more and more interesting to the investors. Therefore we decided to</p><p>perform valuation with the Heston stochastic volatility model, as well</p><p>as by using replication strategy.</p><p>The thesis was done at SunGard Front Arena, so for testing the replica-</p><p>tion strategy Front Arena software was used. For calibration and testing</p><p>of the Heston model we used MatLab.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-2197 |
| Date | January 2008 |
| Creators | Petkovic, Danijela |
| Publisher | Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
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