Static Hedging, Variance Swap and Volatility Index*

Raymond H. Chan, Yves ZY. Guo, Spike T. Lee and Xun Li
Additional contact information
Raymond H. Chan: City University of Hong Kong
Yves ZY. Guo: BNP Paribas CIB
Spike T. Lee: The Chinese University of Hong Kong
Xun Li: The Hong Kong Polytechnic University

Chapter Chapter 24 in Financial Mathematics, Derivatives and Structured Products, 2024, pp 311-316 from Springer

Abstract: Abstract At the beginning of this chapter, we first discuss how to replicate a European-style option with call and put options of different strikes. From there, a special contract called variance swap will be covered, together with its valuation and hedging. The static hedging formula with calls/puts can link implied volatilities with variance swap prices.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-99-9534-9_24

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DOI: 10.1007/978-981-99-9534-9_24

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