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Variance and Volatility Swap Model
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Valuation, Stock exchanges
- Item Type:
- Essay
- Tag(s):
- variance swap, volatility swap, asset pricing, derivative valuation
- Permanent URL:
- https://doi.org/10.17613/qpnn-pk59
- Abstract:
- A variance/volatility swap is an instrument that allows explicit exposure to the realized variance/volatility of an index, stock, etc., without exposure to other risks commonly encountered with derivatives: delta, gamma, etc.
- Notes:
- https://hal.science/hal-03758093v1/preview/CommodityFactorModel.pdf
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 3 weeks ago
- License:
- Attribution
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