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BLOBY
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Posts: 113
Joined: May 17th, 2004, 5:07 am

Weekly variance swaps replication

June 26th, 2012, 3:37 pm

I heard that the most efficient way to arb mean reversion on equity is to replicate it via vanilla options, instead of the well know long/short daily varswap versus weekly varswap, due to liquidity issues.How would your do so ? In other words, how would you replicate weekly variance swaps payoff with options ?
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