楊同學
2021-11-18 16:40如何理解 the payoff of a variance swap is convex with respect to changes in volatility
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2021-11-19 11:13
該回答已被題主采納
同學你好
原版書上的解釋是說，我們long方差互換，相當于long option short stock，因為這樣就相當于我們把波動提取出來了，只看多波動，而期權(quán)是有g(shù)amma效應的，會有漲多跌少的好處，所以方差互換也會有convex payoff
This convexity occurs because being long a variance swap is equivalent to be long a basket of options and short the underlying asset (typically by selling a futures contract). A long position in a variance swap is thus long gamma and has a convex payoff.
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