Variance swaps

Wolfgang Karl Härdle and Elena Silyakova
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Wolfgang Karl Härdle: Humboldt Universität zu Berlin and National Central University, Center for Applied Statistics and Economics
Elena Silyakova: Humboldt Universität zu Berlin, Center for Applied Statistics and Economics

Chapter 6 in Statistical Tools for Finance and Insurance, 2011, pp 201-223 from Springer

Abstract: Abstract Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors have begun to look at volatility from a different angle, variance swaps have been created.

Keywords: Implied Volatility; Underlying Asset; Index Option; Variance Swap; Future Volatility (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-3-642-18062-0_6

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