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hhb


Total Posts: 7
Joined: Sep 2015
 
Posted: 2017-12-22 13:44
Hi,

Can someone please provide any document/guidance related to pricing of corridor variance swap.

Regards,
hhb

frolloos


Total Posts: 10
Joined: Dec 2007
 
Posted: 2017-12-23 12:43
There is paper by Carr & Lewis on corr varswaps. But I suppose you've googled the paper / have it already?

hhb


Total Posts: 7
Joined: Sep 2015
 
Posted: 2017-12-27 10:52
Hi Frolloos,

I tried googling it but cannot find that particular paper. Can you help me with that.

pj


Total Posts: 3356
Joined: Jun 2004
 
Posted: 2017-12-27 11:06
http://bfy.tw/FkxF

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
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