1
$\begingroup$

In an article, it is mentioned that a parameter is "the variance swap volatility at time t".

I know what a variance swap is but I don't know what they could mean by "variance swap volatility".

Thanks.

$\endgroup$
2
$\begingroup$

i would guess the value of volatility that makes the variance swap with strike equal to it have zero value.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.