Abstract
The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication price is more relevant.
| Original language | English |
|---|---|
| Article number | 11 |
| Pages (from-to) | 1-15 |
| Number of pages | 15 |
| Journal | Journal of Risk and Financial Management |
| Volume | 11 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2018 |
Keywords
- variance swap
- volatility
- derivatives
- quantitative finance
- OA-Fund TU Delft