One Thing You Did Not Know About Variance Swaps

In this paper we elaborate on what is commonly referred to as the Skew Delta of a Variance Swap, i.e. the sensitivity of the fair strike of a variance swap relative to moves in the underlying's spot price. In particular we examine whether or not a pure variance product such as a variance swap should be hedged with an offsetting delta on the spot

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Year of publication:	2012
Authors:	Eid, Gilbert
Publisher:	[2012]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 10, 2011 erstellt
Other identifiers:	10.2139/ssrn.2044814 [DOI]
Classification:	D8 - Information and Uncertainty ; E2 - Consumption, Saving, Production, Employment, and Investment ; G1 - General Financial Markets ; G2 - Financial Institutions and Services ; N2 - Financial Markets and Institutions
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013107415