Search results with tag "Variance swap"

Variance Swap - frouah.com

The variance swap rate K var is the fair value of the variance; that is, it is the expected value of the average variance under the risk neutral measure. Hence K var = E[V T] = E 1 T Z T 0 ˙2 t dt # (4) = 2 T E "Z T 0 dS t S t ln S T S # = 2

  Variance, Swaps, Variance swap