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
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
收藏
页码:319 / 339
页数:21
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