The concept evaluates variance swaps for stochastic volatility considering both
Jumps and Delay. The key risk factors considered in option pricing models, besides
the diffusive price risk of the underlying asset, are stochastic volatility and
Jumps. And the rate of change of a bond/stock account depends not only on the current
price but also their historical prices.
The module require a few input parameters for the analysis including a time series
of stock index and will return the expected present value of the per unit future
pay-off at Maturity. In addition, the program displays the dependence of the variance
swaps for different delay (up to 30 days) and maturity (up to 30 years) for the
particular time series.
This Module Implemented by Md.Raziul Hasan & Md. Mizanur Rahman nur