Pricing Volatility Referenced Assets
Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and v...
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| Format: | Article |
| Language: | English |
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Brazilian Society of Finance
2006-12-01
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| Series: | Revista Brasileira de Finanças |
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| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1162 |