Simple variance swaps
By: Ian Martin
Contributors: National Bureau of Economic Research
Series: NBER working paper series -- working paper 16884; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16884.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused the single-name variance swap market to dry up completely.  This paper defines and analyzes a simple variance swap, a relative of the variance swap that in several respects has more desirable properties.  First, simple variance swaps are robust: they can be easily priced and hedged even if prices can jump.  Second, simple variance swaps supply a more accurate measure of market-implied variance than do variance swaps or the VIX index.  Third, simple variance swaps provide a better way to measure and to trade correlation.  The paper also explains how to interpret VIX in the presence of jumps"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/2/2011.

Includes bibliographical references.

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Mode of access: World Wide Web.