Volatility Derivatives instruments - such as Variance Swaps, Volatility Swaps, Variance Corridors and Correlation Swaps – are gaining more prominence in the market. Pricing variance swaps is the first service to be launched at IVolatility.com. To get you familiar with pricing model we’re going to use for this service please refer to the article below.
Pricing Variance Swaps
The goal of this paper is to make a reader more familiar with pricing and hedging variance swaps and to propose some practical recommendations for quoting variance swaps. We give basic ideas of variance swap pricing and hedging and apply this analysis to real market data. In the last section we discuss the connection with volatility swaps.Volatility Derivatives Questionnaire
VARIANCE SWAPS VALUATION (Adobe PDF Reader required).
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