Download This PaperPricing 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: Suggested Citation
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