Delta hedging for Dispersion Strategy

erstwhile · February 21st, 2005, 2:42 pm

thanks - that was quite interesting, esp the finding that the best hedge for a vol swap is a straddle (which is what i always said!).

sgelb · February 21st, 2005, 3:27 pm

perhaps vega convexity is a way to hedge such things?

cuandoserequanto · May 31st, 2007, 9:13 pm

Eiriamjh, could you include the author/title/publication info of that article (linky no longer works).Thanks.

Randomness · June 10th, 2007, 11:20 am

there is also a very good paper by the guys at JPM on Variance swapsIt was initially published as a technical marketing doc for hedge funds and it provides an intuitive understanding of hedging the risk in a variance swapif you get your hands on that one , perhaps it might help.

HankScorpio · June 10th, 2007, 2:54 pm

Derman - Vol Swaps

michaelzx · June 14th, 2007, 11:03 am

does anyone have something or thoughts on variance options?

eye51 · June 15th, 2007, 2:03 pm

yes.. maybe

frolloos · December 28th, 2007, 9:20 pm

the best article on variance 'swaps' (erstwhile is mucho correct in saying it's a forward contract and not really a swap) i have read is by carr and madan, called 'towards a theory of volatility trading'. closely followed by dermans 'more than you ever wanted to know about variance swaps'.