Timeline for Volatility swap hedge
Current License: CC BY-SA 3.0
10 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jan 9, 2020 at 7:14 | answer | added | user34971 | timeline score: 4 | |
| Apr 16, 2019 at 2:33 | vote | accept | Hans | ||
| Mar 18, 2019 at 15:00 | history | tweeted | twitter.com/StackQuant/status/1107658072405827591 | ||
| Mar 18, 2019 at 10:05 | answer | added | user34971 | timeline score: 3 | |
| Apr 9, 2018 at 0:39 | comment | added | Hans | @AlexC: Thanks. I am already aware of Carr & Lee's paper, as I have already mentioned in my question. I would appreciate it if you can comment on the practicality of applying the approach in that paper or other papers to a vol swap not a variance swap, specifically to hedge away the convexity adjustment. | |
| Apr 8, 2018 at 11:35 | comment | added | Alex C | A major result in the literature is that: a varswap can be hedged with a static option position plus a dynamc position in the underlying, a volswap hedge requires a dynamic position in options (which makes it very inconvenient and costly to hedge a volswap). Read the paper by Carr thoroughly. | |
| Apr 8, 2018 at 6:31 | comment | added | Hans | @eSurfsnake: Are you just delta-hedging an option but leaving the volatility unhedged? Is that not beside the point of hedging the volatility swap which calls for hedging the volatility? | |
| Apr 8, 2018 at 4:19 | comment | added | eSurfsnake | Well, if you have options, you can seemingly come up with a position which has zero delta to price changes, but would change in value if $\frac{d\sigma}{dt}$ changes alone. That's not a complete answer, but it seems a good start. | |
| Apr 7, 2018 at 1:12 | review | Close votes | |||
| Apr 9, 2018 at 18:41 | |||||
| Apr 6, 2018 at 22:24 | history | asked | Hans | CC BY-SA 3.0 |