Saturday, October 29, 2016

Forward looking estimation of market price of risk of stochastic volatility


I would like to estimate the market price of stochastic volatility by forward looking methods, such as option values. The stochastic volatility model I have in mind is the Heston model or some other similar ones. I am advised to look into the shorting positions of variance or volatility swaps and the return of the delta hedged SPX option positions. What are the relevant reference for these methodologies? Other suggestions are welcome.




No comments:

Post a Comment

technique - How credible is wikipedia?

I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...