Articles by Olaf Torné
Sticky varswaps
Bergomi's skew-stickiness ratio is extended to the setting of variance swaps
Knocking out corridor variance
Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap
Efficient pricing and super-replication of corridor variance swaps and related products
This paper proposes a method for overhedging weighted variance using only a finite number of maturities.
The value of a variance swap – a question of interest
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per Hörfelt and Olaf Torné derive the fair strike when both…