Volatility Derivatives

被引：108

作者：

Carr, Peter ^{[1
]}

Lee, Roger ^{[2
]}

机构：

[1] Bloomberg NYU, New York, NY 10022 USA

[2] Univ Chicago, Dept Math, Chicago, IL 60637 USA

来源：

ANNUAL REVIEW OF FINANCIAL ECONOMICS | 2009年 / 1卷

关键词：

variance swap; volatility swap; realized variance; realized volatility; implied volatility; IMPLIED VOLATILITY; PRICING OPTIONS; PRICES; MODEL;

D O I：

10.1146/annurev.financial.050808.114304

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Volatility derivatives are a class of derivative securities where the payoff explicitly depends on some measure of the volatility of an underlying asset. Prominent examples of these derivatives include variance swaps and VIX futures and options. We provide an overview of the current market for these derivatives. We also survey the early literature on the subject. Finally, we provide relatively simple proofs of some fundamental results related to variance swaps and volatility swaps.

引用

页码：319 / 339

页数：21