Knocking out corridor variance
CLICK HERE TO VIEW THE PDF
Adding an up-and-out barrier to corridor variance swaps is a simple but powerful innovation that better matches the requirements of both issuers and investors. Amine Ahallal and Olaf Torné derive a replication formula, expressing knock-out corridor variance in terms of simple barrier options, and use this to write a pricing partial differential equation under stochastic
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Mutual funds were USD bulls going into April’s tariff chaos
Counterparty Radar: Positioning in Q1 reflected market sentiment that tariffs would lead to a dollar rally
Can vendors and CTAs escape the CFTC’s clutches?
Withdrawal of Sef perimeter advisory may provide greater flexibility for new breed of crypto tools
Investors hope US rate cuts will lower FX hedging costs
European investors in US assets set to boost hedge ratios as implied yields rise
Sebi unravels Jane Street’s ‘sinister’ trades
US trading firm barred from Indian securities market after “disregarding” February warnings
Jive Investments quicksteps towards hedged returns
Brazilian fund manager uses combo of options and forwards to push down hedging costs compared with plain NDF strategy
Why Iran tensions failed to rattle markets
Despite initial fears, traders say risks were signposted and investors had deleveraged after April
Platforms expand portfolio trading to EGBs
Bloomberg and MTS to follow Tradeweb with extension of popular credit protocol
LMAX: stablecoin bill sets stage for FX and crypto convergence
David Mercer on what the Genius Act means for markets, and where the venue’s FX business goes next
