Variance Swaps in BM&F: Pricing and Viability of Hedge

Variance Swaps in BM&F: Pricing and Viability of Hedge

A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options considering that the realized variance follows a purely diffusive process with continuous monitoring. In this article we willanalyze the possible differences in pricing considering discrete monitoring...

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Bibliographic Details
Main Authors: Richard John Brostowicz Junior, Márcio Poletti Laurini
Format: Article
Language:English
Published: Brazilian Society of Finance 2010-07-01
Series:Revista Brasileira de Finanças
Subjects:
Variance Swaps
Realized Variance
Hedge
Online Access:http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1562

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