Alexander, Carol; Leontsinis, Stamatis - Henley Business School, University of Reading - 2011
Different theoretical and numerical methods for calculating the fair-value of a variance swap give rise to systematic … observed on fair-value index variance swap rates during the backing crisis in 2008, depending on the formula used and its … swap rates. The exchange’s variance swap rate formula, used to quote volatility indices such as VIX, has an upward bias …