The value of a variance swap – a question of interest

The floating leg of a variance swap pays the realised variance of the underlying price process. Classical results by Neuberger (1990) and Dupire (1993) show that if the underlying price process is an Itô diffusion with a deterministic short rate, a continuously sampled variance swap can be hedged with a static portfolio of calls and puts, and by keeping a fixed amount in the underlying asset. The cost of keeping a fixed amount in the underlying asset is straightforward to calculate in a model

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 or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

What gold's rise means for rates, equities

It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here