Download This PaperRemark on Variance Swaps Pricing
7 Pages Posted: 9 Nov 2015 Last revised: 12 Nov 2015
Date Written: November 8, 2015
Abstract
Critical point on variance swap pricing is established.
Keywords: Variance swap, Black Scholes pricing, risk neutral valuation.
JEL Classification: G12, G13
Suggested Citation: Suggested Citation
Gikhman, Ilya I., Remark on Variance Swaps Pricing (November 8, 2015). Available at SSRN: https://ssrn.com/abstract=2687664 or http://dx.doi.org/10.2139/ssrn.2687664
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