Published March 15, 2021 | Version v1
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Pricing Variance Swap and Swaption

Authors/Creators

  • 1. BMO

Description

A variance swap is an instrument which allows investors to trade future realized (historical) volatility against current implied volatility. The Variance Swap pays the difference between observed variance and a strike variance, possibly subject to a cap and a floor. The observed variance is computed from the stock price returns over a series of specified sampling dates.

Notes

https://ia803408.us.archive.org/0/items/eq-variance-9/EqVariance-archive.pdf

Files

EqVariance-9.pdf

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