Timeline for Pricing Corridor Variance Spreads
Current License: CC BY-SA 4.0
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| Jul 13, 2018 at 1:03 | history | edited | user34971 | CC BY-SA 4.0 |
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| Jul 13, 2018 at 0:55 | comment | added | user34971 | See my edited answer above. | |
| Jul 13, 2018 at 0:50 | history | edited | user34971 | CC BY-SA 4.0 |
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| Jul 12, 2018 at 7:46 | comment | added | voltrader098 | Yes! That's precisely what I mean. The corridor of both the short and the long leg of the product is contingent on just one index, say the SX5E. Basically, I would like some analytical or closed-form formula or a replication with simpler instruments so that I can see the risk of the structure as I trade it. Thank you for your response! | |
| Jul 12, 2018 at 3:20 | history | answered | user34971 | CC BY-SA 4.0 |