GARCH and volaitlity Swaps

Antonio · August 2nd, 2005, 2:56 pm

Hi,I'm actually reading the paper by Javaheri, Wilmott and Haug (http://www.wilmott.com/pdfs/020117_garch.pdf), and I have two problems :- First, I don't manage to find the relationships (page 6) between continuous and discrete variables.- Then, how do they find the value for v (in small letter, not the long-term variance) , page 9, to compute the swap ?If anyone has an idea, that would help me a lot.Thank you

matthewcroberts · August 3rd, 2005, 6:52 pm

AntonioUse the search feature. That article was basically written on the forums. Wilmott is 'Paul', Javahere is 'Reza' and Haug is 'collector'. IIRC the thread had 250 posts, and it goes through all the details. I think the title was 'GARCH and vol swaps'.HTH,matt.

Antonio · August 3rd, 2005, 7:52 pm

Thank you