Volatility Derivatives Practical Notes

18 Pages Posted: 19 Jun 2015

Date Written: March 18, 2015

Abstract

We present in this paper the practical aspects of pricing of variance swaps, volatility swaps, variance options and volatility options under the model of Carr and Lee. Popular related derivative products to the pure vanilla variance swaps are reviewed: the forward starting variance swaps, variance swaps on a foreign asset, variance caps and floors. We will also pay attention at the effect of cash dividends on the variance swap price.

Keywords: variance swap, volatility swap, replication, Filon, oscillatory integrand, finance

Suggested Citation

Le Floc'h, Fabien, Volatility Derivatives Practical Notes (March 18, 2015). Available at SSRN: https://ssrn.com/abstract=2620166 or http://dx.doi.org/10.2139/ssrn.2620166

Fabien Le Floc'h (Contact Author)

Calypso Technology ( email )

106 rue de la Boetie
Paris, 75008
France

Independent ( email )

France

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