Realised volatility and variance: options via swaps
Submitted by loner on 13 June, 2007 - 3:17am
Peter Carr and Roger Lee present explicit and readily applicable formulas for valuing options on realised variance and volatility. They use variance and volatility swaps – or alternatively vanilla options – as pricing benchmarks and hedging instruments. They also cover Vix options.
http://www.risk.net/public/showPage.html?page=445528
| Attachment | Size |
|---|---|
| risk_0507_technical_volatility.pdf | 950.62 KB |
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