Pricing Variance Swaps with Cash Dividends

Final version in: Wilmott Journal, 1 (4) 173-177 (2009)

7 Pages Posted: 24 Oct 2008 Last revised: 22 Jan 2015

Date Written: May 24, 2008

Abstract

We derive a simple formula for the price of a variance swap when the underlying has cash dividends.

Keywords: Variance swaps, dividends, equity derivatives

JEL Classification: G12, G13, C63

Suggested Citation

Klassen, Timothy, Pricing Variance Swaps with Cash Dividends (May 24, 2008). Final version in: Wilmott Journal, 1 (4) 173-177 (2009) . Available at SSRN: https://ssrn.com/abstract=1285399 or http://dx.doi.org/10.2139/ssrn.1285399

Timothy Klassen (Contact Author)

Vola Dynamics LLC ( email )

New York, NY

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