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user 41219
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Fair Strike for Variance Swap with no Skew in IV Surface
@Quantuple had a good answer in the comments. Basically, I was not using a fine enough grid in my replication.
Click here to see the original comment that answers the question.
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Fair Strike for Variance Swap with no Skew in IV Surface
I am reading through Derman's 1999 research notes, "More than you ever wanted to know about Volatility Swaps."
In equation B4 of Appendix B, the author takes the Taylor Series of the variance swap r …