Pricing Variance Swap and Swaption
| Autor: | David Lee |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: | |
| DOI: | 10.5281/zenodo.4605793 |
| Popis: | 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. https://ia803408.us.archive.org/0/items/eq-variance-9/EqVariance-archive.pdf |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|