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frolloos


Total Posts: 43
Joined: Dec 2007
 
Posted: 2018-05-12 04:24
A working paper on model-free pricing of forward starting volatility swap:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3177299

Comments welcome of course.

alexandergir


Total Posts: 25
Joined: Dec 2007
 
Posted: 2018-06-07 13:11
We knew that fair vol swap is cost of gamma, and Rolloos & Arslan derived this in a few ways independently a couple years ago. Great to see this generalized to forward start! Thank you Frido.

frolloos


Total Posts: 43
Joined: Dec 2007
 
Posted: 2018-06-07 14:03
Me thinks there could be a small error in the paper actually - so advise to not use it for now :) Will let forum know when/if corrected.

EDIT:
Paper has been corrected and available for download again at given SSRN link. Conclusion hasn't changed, just the derivation of it. But contact me if any questions/comments.
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