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Miky2016
Topic Author
Posts: 2
Joined: February 8th, 2016, 7:13 pm

Geo dispersion

February 23rd, 2020, 1:24 pm

Hi all,

Geometric Dispersion is becoming the new trendy product among institutional investors - 10s of millions of Vega are traded every year on this product. It consists in buying individual vol swap on stocks and selling vol swap on the basket of stocks.

How would you model a vol swap on a basket of names ?

Rgds
 
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frolloos
Posts: 1620
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: Geo dispersion

February 25th, 2020, 11:43 am

Volswap or varswap?

Btw, probably not a numerical methods forum question.
 
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frolloos
Posts: 1620
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: Geo dispersion

March 2nd, 2020, 12:32 pm

Volswap or varswap?

Well, that really killed the conversation...
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