Published May 2, 2023
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Variance Swap Introduction
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A variance swap is a forward contract on annualized variance, the square of the realized volatility. The holder of a variance swap at expiration receives a notional amount of dollar for every point by which the stock’s realized variance has exceeded the variance delivery price.
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https://ia801407.us.archive.org/22/items/curve-construction-3_202110/CurveConstruction-3.pdf
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VarianceSwap.pdf
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