Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: The aim of this paper is to investigate model risk aspects of variance swaps and forward-start options in a realistic market setup where the underlying asset price process exhibits stochastic volatility and jumps.  devise a general framework in order to provide evidence of the model uncertainty attached to variance swaps and forward-start options. In our study, both variance swaps and forward-start options can be valued by means of analytic methods.  measure model risk using a set of 21 models embedding various dynamics with both continuous and discontinuous sample paths. To conduct our empirical analysis,  work with two major equity indices (S&P 500 and Eurostoxx 50) under different market situations. Our results evaluate model risk beten 50 and 200 basis points, with an average value slightly above 100 basis points of the contract notional.
['Guillaume Coqueret', 'Bertrand Tavin']
I am writing a research paper on a idea An Investigation of Model Risk in a Market with Jumps and Stochastic Volatility
[{"from": "human", "value": "I am writing a research paper on a idea An Investigation of Model Risk in a Market with Jumps and Stochastic Volatility"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: The aim of this paper is to investigate model risk aspects of variance swaps and forward-start options in a realistic market setup where the underlying asset price process exhibits stochastic volatility and jumps.  devise a general framework in order to provide evidence of the model uncertainty attached to variance swaps and forward-start options. In our study, both variance swaps and forward-start options can be valued by means of analytic methods.  measure model risk using a set of 21 models embedding various dynamics with both continuous and discontinuous sample paths. To conduct our empirical analysis,  work with two major equity indices (S&P 500 and Eurostoxx 50) under different market situations. Our results evaluate model risk beten 50 and 200 basis points, with an average value slightly above 100 basis points of the contract notional."}]