Model-independent hedging strategies for variance swaps
نویسندگان
چکیده
منابع مشابه
Model-independent hedging strategies for variance swaps
A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can be replicated exactly using a portfolio of puts and calls and a dynamic position in the asset. T...
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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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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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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 ...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2012
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-012-0190-3