Realised volatility and variance: options via swaps

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

AttachmentSize
risk_0507_technical_volatility.pdf950.62 KB

What did I say then?

Reminiscences of a Stock Operator (6 years 43 weeks ago):

Stock investing is a relatively recent phenomenon and the inventory of true classics is somewhat...

Theme provided by Danang Probo Sayekti.