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Journal of Probability and Statistics
Volume 2014, Article ID 854578, 6 pages
Research Article

On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index

1LaPS Laboratory, Badji-Mokhtar University, BP 12, 23000 Annaba, Algeria
2Department of Computing Mathematics and Physics, Waterford Institute of Technology, Waterford, Ireland
3Université 20 Aout, 1955 Skikda, Algeria

Received 3 August 2014; Revised 21 September 2014; Accepted 29 September 2014; Published 9 November 2014

Academic Editor: Chin-Shang Li

Copyright © 2014 Halim Zeghdoudi et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This paper focuses on the pricing of variance and volatility swaps under Heston model (1993). To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast: CAC 40 French Index to price swap on the volatility using GARCH(1,1) model.