Hi,Does anyone know how to choose the weights? For example, in JP Correlation vehicles they give you two types of weights but they dont explain how they get them. Is a maximization problem? thanks!!!

<t>Hi!!Thank you for your message. However, I cannot understant how I will replicate the log contract with only one strike ATM, because I cannot create a porftolio of put and calls (I have not slope with only one value..).Could you explain me a little more in detail your answer??Thank you very much ...

<t>Hi everyone,I am calculating the variance swaps prices with the skews for different stocks. The procedure that I am following is Derman, the inputs are the skews of the different stocks. The problem that I have is how to calculate the variance swap price with only one value of the skew, that is, ...

Hi everybody,I have implemented the Derman's paper in order to get the variance swap price. Now the problem is how to choose S0 and S* with a real skew (strikes from 70 to 130). I think that S* is K=100 (At the money strike). But S*?Thank you very much in advance,Miguel

Hi!!!I am very interested in the excel file for pricing variance swaps. Could you send it to me please? My email is cgeacar@gmail.comThank you very much in advance,Carlos