文章基本信息

标题：Variance Swaps in BM&F: Pricing and Viability of Hedge
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作者：Richard John Brostowicz Junior ; Márcio Poletti Laurini
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2010
卷号：8
期号：2
页码：197-228
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options considering that the realized variance follows a purely diffusive process with continuous monitoring. In this article we will analyze the possible differences in pricing considering discrete monitoring of realized variance. It will analyze the pricing of variance swaps with payoff in dollars, since there is a OTC market that works this way and that potentially serve as a hedge for the variance swaps traded in BM&F. Additionally, will be tested the feasibility of hedge of variance swaps when there is liquidity in just a few exercise prices, as is the case of FX options traded in BM&F. Thus be assembled portfolios containing variance swaps and their replicating portfolios using the available exercise prices as proposed in (DEMETERFI et al., 1999). With these portfolios, the effectiveness of the hedge was not robust in mostly of tests conducted in this work.
其他摘要：A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options considering that the realized variance follows a purely diffusive process with continuous monitoring. In this article we will analyze the possible differences in pricing considering discrete monitoring of realized variance. It will analyze the pricing of variance swaps with payoff in dollars, since there is a OTC market that works this way and that potentially serve as a hedge for the variance swaps traded in BM&F. Additionally, will be tested the feasibility of hedge of variance swaps when there is liquidity in just a few exercise prices, as is the case of FX options traded in BM&F. Thus be assembled portfolios containing variance swaps and their replicating portfolios using the available exercise prices as proposed in (DEMETERFI et al., 1999). With these portfolios, the effectiveness of the hedge was not robust in mostly of tests conducted in this work.
关键词：Variance Swaps;Realized Variance;Hedge;Swaps de Variância, Hedge, Apreçamento
其他关键词：Finance;Variance Swaps; Realized Variance; Hedge;G12, G13