GARCH and Volatility swaps
在GARCH(1,1)随机波动率模型框架下，研究了波动率互换的估值与对冲，给出了实现方差的矩和凸性修正的近似解，并用标普500数据做了数值示例。
This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH (1, 1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or discrete context. Next, and also the main contribution of the paper, is a closed-form approximate solution for the so-called convexity correction, when the risk-neutral process for the instantaneous variance is a continuous time limit of a GARCH (1, 1) model. Following this, we provide a numerical example using S&P 500 data.