-
Pricing Variance Swap
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2021
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Permanent URL:
- http://dx.doi.org/10.17613/w0mx-7z54
- Abstract:
- A variance swap is an instrument which allows investors to trade future realized (historical) volatility against current implied volatility. The Variance Swap pays the difference between observed variance and a strike variance, possibly subject to a cap and a floor. The observed variance is computed from the stock price returns over a series of specified sampling dates.
- Notes:
- https://gitlab.com/finance15/variance-swap-pricing/-/raw/master/EqVariance-9.pdf
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
eqvariance-9.pdf