x******a
发帖数: 6336 | 1 Variance Swap的pay off可以用european vanilla options复制。
vanilla （europe） options的theta都是负的，而variance swap是不随时间变的，
为什么？ |
D********n
发帖数: 978 | 2 谁说variance swap不随时间变。太雷人。
我book上的variance swap每天都在亏钱，谁觉得不随时间改变谁从我这里拿走。
【在 x******a 的大作中提到】
: Variance Swap的pay off可以用european vanilla options复制。
: vanilla （europe） options的theta都是负的，而variance swap是不随时间变的，
: 为什么？
|
x******a
发帖数: 6336 | 3 我也是说variance swap不是constant。可是interviewer执意说variance swap的pay
off不随时间变化。我对这个问题不太熟悉，没有争过他。
【在 D********n 的大作中提到】
: 谁说variance swap不随时间变。太雷人。
: 我book上的variance swap每天都在亏钱，谁觉得不随时间改变谁从我这里拿走。
|
n****e
发帖数: 629 | 4 我靠 这年头面试都考variance swap了。。。
【在 x******a 的大作中提到】
: Variance Swap的pay off可以用european vanilla options复制。
: vanilla （europe） options的theta都是负的，而variance swap是不随时间变的，
: 为什么？
|
r******r
发帖数: 23 | 5 Variance swap can be replicated using options, but those options need to be
delta hedged, i.e. Gamma trading, which in theory cancels the Theta.
Therefore, no time decay. |
x******a
发帖数: 6336 | 6 Receiver: thank you very much.
From what I know, after delt hedge, theta is approxiamte -1/2*dollar gamma*
vol^2. And in the static replication, the weight of the options is chosen so
that dollar gamma is a constant. I think theta is therefore a constant. I
am not quite familiar with this area. Can you let me know some reference
besides the two papers from JPM and GS? Thank you again.
be
【在 r******r 的大作中提到】
: Variance swap can be replicated using options, but those options need to be
: delta hedged, i.e. Gamma trading, which in theory cancels the Theta.
: Therefore, no time decay.
|
s******e
发帖数: 1751 | 7 varswap is just a strip of european options. so naturally it has a lot of
theta.
peter carr has a good paper on varswap. "Volatility Derivatives"
http://www.math.nyu.edu/research/carrp/research.html
so
【在 x******a 的大作中提到】
: Receiver: thank you very much.
: From what I know, after delt hedge, theta is approxiamte -1/2*dollar gamma*
: vol^2. And in the static replication, the weight of the options is chosen so
: that dollar gamma is a constant. I think theta is therefore a constant. I
: am not quite familiar with this area. Can you let me know some reference
: besides the two papers from JPM and GS? Thank you again.
:
: be
|
x******a
发帖数: 6336 | 8 sametime,
thank you very much for the reference.
i will read it.
【在 s******e 的大作中提到】
: varswap is just a strip of european options. so naturally it has a lot of
: theta.
: peter carr has a good paper on varswap. "Volatility Derivatives"
: http://www.math.nyu.edu/research/carrp/research.html
:
: so
|
