Results 21 to 30 of about 985,955 (228)
Arbitrage Bounds for Prices of Weighted Variance Swaps [PDF]
Mathematical Finance, 2012 We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap
Davis, Mark H. A. +2 more
core +7 more sources
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data [PDF]
arXiv, 2020 We empirically investigate the functional link between the variance swap rate and the spot variance. Using S\&P500 data over the period 2006-2018, we find overwhelming empirical evidence supporting the affine link analytically found by Kallsen et al. (2011) in the context of exponentially affine stochastic volatility models.
M. Mancino +2 more
arxiv +2 more sources
Volatility Investing with Variance Swaps [PDF]
SSRN Electronic Journal, 2010 Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle.
Elena Silyakova, Wolfgang Karl Härdle
core +5 more sources
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments [PDF]
Journal of Financial and Quantitative Analysis, 2010 AbstractThis paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation ...
Daniel Egloff +2 more
openalex +5 more sources
Variance Dispersion and Correlation Swaps [PDF]
SSRN Electronic Journal, 2007 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 ...
Antoine Jacquier, Saad Slaoui
openalex +7 more sources
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS [PDF]
International Journal of Theoretical and Applied Finance, 2011 In this paper, we quantify the impact on the representative agent's welfare of the presence of derivative products spanning covariance risk. In an asset allocation framework with stochastic (co)variances, we allow the agent to invest not only in the stocks but also in the associated variance swaps.
José Da Fonseca +2 more
openalex +6 more sources
Convergence of the discrete variance swap in time-homogeneous diffusion models [PDF]
arXiv, 2013 In stochastic volatility models based on time-homogeneous diffusions, we provide a simple necessary and sufficient condition for the discretely sampled fair strike of a variance swap to converge to the continuously sampled fair strike. It extends Theorem 3.8 of Jarrow, Kchia, Larsson and Protter (2013) and gives an affirmative answer to a problem posed
C. Bernard, Zhenyu Cui, D. McLeish
arxiv +3 more sources
Variance swap volatility dispersion [PDF]
Derivatives Use, Trading & Regulation, 2006 Several trading institutions are actively engaged in ‘volatility dispersion’ strategies. These involve selling volatility on the index and buying volatility on the components. This trade was traditionally done using at the money (ATM) straddles. An important practical problem with this approach is that market prices move and cause the original ATM ...
Izzy Nelken
openalex +3 more sources
Variance Swaps in BM&F: Pricing and Viability of Hedge
Revista Brasileira de Finanças, 2010 A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options considering that the realized variance follows a purely diffusive process with continuous monitoring.
Richard John Brostowicz Junior +1 more
doaj +2 more sources
The validity of variance and volatility swaps [PDF]
Journal of Derivatives & Hedge Funds, 2007 Stephen Satchell
openalex +3 more sources