https://symin.us/posts/financial_engineering/2024-04-01.html
Gloria - The Volatility Smile - Chapter 4 - Variance Swaps
Option values are sensitive to volatility and stock price A better way to trade pure volatility is through volatility and variance swaps How to replicate a variance swap out of a portfolio of options that has the payoff of a log contract How to replicate a
symin.us
'Financial Engineering' 카테고리의 다른 글
| The Volatility Smile - Chapter 3 - Static and Dynamic Replication (0) | 2024.03.31 |
|---|---|
| Quantitative Finance - Chapter 80 - Monte Carlo simulation (0) | 2024.03.31 |
| The Volatility Smile - Chapter 2 - The principle of replication (0) | 2024.03.31 |
| Quantitative Finance - Chapter 46 - defects in the Black-Scholes model (0) | 2024.03.28 |
| Quantitative Finance - Chapter 45 - financial modeling (0) | 2024.03.27 |