• 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:
    Status:
    Published
    Last Updated:
    2 years ago
    License:
    All-Rights-Granted

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