Variance Notional vs. Vega Notional
Submitted by loner on 30 September, 2009 - 2:21pm
In Variance Swap, the relationship between Vega Notional (the dollar value per vega or volatility point) and Variance Notional (the dollar value per variance unit) is conventionally expressed as
![\[VarianceNotional=\frac{VegaNotional}{2K_{Var}}\]](/portal/files/tex/a01de3b327f36a898de08232535f1bbf9d27de84.png) |
The 
comes from the first order Taylor expansion (expand the function 
).
| Attachment | Size |
|---|---|
| More Than You Ever Wanted To Know About Volatility Swaps.pdf | 474.25 KB |
What did I say then?
슈퍼스텝다운형 ELS의 질주 - 만기때 기초자산 주가 절반 이상 안빠지면 年 15%이상 수익보장 수익률 낮아졌어도 변동성 커진 증시서 베스트셀러 자리잡아 (2 years 47 weeks ago):
`슈퍼 스텝다운형`으로도 불리는 `노 녹인(No knock-in) 스텝다운형` 주가연계증권(ELS)이 ELS시장을 평정하고 있다.
요즘 주...
