Hafner, Reinhold; Wallmeier, Martin - In: The European Journal of Finance 13 (2007) 7, pp. 621-644
synthetically derive variance swap rates from the smile in option prices. Using quotes from two large investment banks over two … months, we validate that the synthetic values are close to OTC market prices. We find that variance swap returns exhibit an …-normality of returns in measuring the performance of variance swap investments. As in the US, the average returns of selling …