Weighted Variance Swap
نویسنده
چکیده
Let the underlying process Y be a semimartingale taking values in an interval I. Let φ : I → R be a difference of convex functions, and let X := φ(Y ). A typical application takes Y to be a positive price process and φ(y) = log y for y ∈ I = (0,∞). Then [the floating leg of] a forward-starting weighted variance swap or generalized variance swap on φ(Y ) (shortened to “on Y ” if the φ is understood), with weight process wt, forward-start time θ, and expiry T , is defined to pay, at a fixed time Tpay ≥ T > θ ≥ 0, ∫ T
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تاریخ انتشار 2009