Timeline for Static and Dynamic Hedging of Vol/Var Swaps
Current License: CC BY-SA 3.0
13 events
| when toggle format | what | by | license | comment | |
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| Aug 22, 2023 at 10:14 | answer | added | Frido | timeline score: 2 | |
| Apr 17, 2016 at 22:04 | vote | accept | Trajan | ||
| Apr 17, 2016 at 13:00 | answer | added | Alex C | timeline score: 4 | |
| Apr 16, 2016 at 21:04 | comment | added | Trajan | @AlexC see the above | |
| Apr 16, 2016 at 21:04 | history | edited | Trajan | CC BY-SA 3.0 |
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| Apr 16, 2016 at 15:55 | comment | added | Trajan | Guys, if you write these as answers I can give you the points for your efforts. | |
| Apr 16, 2016 at 10:58 | comment | added | Mark Joshi | the variance swap hedging requires dynamic stock hedging. The vol swap requires dynamic option hedging. | |
| Apr 16, 2016 at 10:57 | comment | added | Mark Joshi | i have a detailed description of the pricing and hedging in More Mathematical Finance. The vol swap stuff was initially developed by Carr and Lee. | |
| Apr 13, 2016 at 23:25 | comment | added | Alex C | Basically the fact that a variance swap can be statically replicated with options of all strikes is a famous and non obvious result, see emanuelderman.com/writing/entry/… and sbossu.com/docs/VarSwaps.pdf. | |
| Apr 13, 2016 at 23:25 | history | edited | Alex C |
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| Apr 13, 2016 at 20:35 | history | edited | Trajan | CC BY-SA 3.0 |
added 63 characters in body; edited tags
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| Apr 13, 2016 at 20:34 | review | First posts | |||
| Apr 13, 2016 at 20:35 | |||||
| Apr 13, 2016 at 20:30 | history | asked | Trajan | CC BY-SA 3.0 |