Citation:
Bouseba FZ, Zeghdoudi H, Amine G. On Variance and Volatility Swaps in Oil Markets. Journal of Computer Science & Computational Mathematics. 2017;7 (2).
Abstract:
This paper focuses on the pricing of variance and volatility swaps in oil markets in some steps, which we considered similarly in the work of A. Swishchuk [1]. In this study a numerical example of oil price (August 1987-October 2016) has been given.
Keywords: oil market, stochastic mean-reverting volatility, volatility swaps.