CUTTING EDGE - Variance swaps - Variance swaps under no conditions - Conditional variance swaps are claims on realised variance that is accumulated when the underlying asset price stays within a certain range. Being highly sensitive to movements in both asset price and its variance, they require a very reliable model for pricing and risk-managing. The author applies the Heston stochastic ...
| Year of publication: |
2007
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| Authors: | Sepp, Artur |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 20.2007, 3, p. 82-87
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