Futuros de swap de variância e volatilidade na BM&F - apreçamento e viabilidade de hedge / Variance and volatility swaps future contracts in BM&F pricing and hedge viability

AUTOR(ES)
DATA DE PUBLICAÇÃO

2009

RESUMO

A variance swap can theoretically be priced with na infinite string of vanilla call and put options if we consider that realized variance follows a purely diffusive process with continuous monitoring. In this dissertation, we will address the possible pricing differences that may arise if we consider that realized variance is discretely monitored. It will be also analized the pricing of variance swaps with a payoff denominated in dollars, as theres na offshore market that settles this way and may potentially be a good hedge to the BM&F variance swaps. Additionally, it will be tested if variance swaps can be replicated with BM&F vanilla options when there are only a few strikes available. In that particular case, the hedge didnt perform quite well in the majority of tests conducted in this dissertation

ASSUNTO(S)

economia swap de variância swap de volatilidade viabilidade de hedge replicating portfolio variance swaps volatility swaps

ACESSO AO ARTIGO

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