منابع مشابه
Simple Variance Swaps
The events of 2008-9 disrupted volatility derivatives markets and caused the singlename variance swap market to dry up completely; it has never recovered. This paper introduces the simple variance swap, a more robust relative of the variance swap that can be priced and hedged even if the underlying asset's price can jump, and constructs SVIX, an index based on simple variance swaps that measure...
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It is widely recognised that delta-hedged positions in options can be used to trade volatility. To facilitate volatility trading for their clients, several institutions routinely offer variance swaps. A variance swap is a financial contract that upon expiry pays the difference between a standard historical estimate of daily return variance and a fixed rate determined at inception. As in any swa...
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Abstract In this paper we introduce a new criterion in order to measure the variance and covariance risks in financial markets. In an asset allocation framework with stochastic (co)variances, we consider the possibility to invest also in variance swaps, that are assets which span the volatility as well as the co-volatility risks. We provide explicit solutions for the portfolio optimization prob...
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In the recent years, banks have sold structured products such as Worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting part of this exposure, namely buying back correlation. Two ways have been proposed for such a strategy : either pure correlation swaps or dispersion trades, taking position in an index option and the ...
متن کاملVariance swaps on time-changed Lévy processes
We prove that a multiple of a log contract prices a variance swap, under arbitrary exponential Lévy dynamics, stochastically time-changed by an arbitrary continuous clock having arbitrary correlation with the driving Lévy process, subject to integrability conditions. We solve for the multiplier, which depends only on the Lévy process, not on the clock. In the case of an arbitrary continuous und...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2016
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2016.1212167