Forward Volatility Contract Pricing in the Brazilian Market

Forward Volatility Contract Pricing in the Brazilian Market

In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime of the contract. It is shown how this expected...

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Bibliographic Details
Main Authors: Sandro Magalhães Manteiga, Pedro Paulo Schirmer, Jorge C. Kapotas
Format: Article
Language:English
Published: Brazilian Society of Finance 2004-06-01
Series:Revista Brasileira de Finanças
Subjects:
IVOL
volatility derivatives
variance swaps
forward volatility
VOI
VIX
Online Access:http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1133

Internet

http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1133

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