Variance swaps have been popular among sophisticated investors such as hedge funds and bank prop desks in recent years. The products grant investors a payout equal to the difference between realised ...

The floating leg of a variance swap pays the realised variance of the underlying price process. Classical results by Neuberger (1990) and Dupire (1993) show that if the underlying price process is an ...

Buying up-variance: If the underlying price is expected to rise or stay above a given level then buying an up-variance swap (with a 95% trigger for example) is a cheaper alternative to a long variance ...

HONG KONG--(BUSINESS WIRE)--GSR, a global leader in algorithmic digital assets trading and market making, has launched its latest product, the Bitcoin Variance Swap. Investors, traders, and companies ...

The researchers note that the Black-Scholes model was developed in the 1970s to price simple call and put options, and a key point of the model was that market makers could delta hedge – cancel out ...

HONG KONG--(BUSINESS WIRE)--GSR has completed the first ever cryptocurrency variance swap transaction with BlockTower Capital. A variance swap is a type of financial derivative product, common in ...

Simply sign up to the Capital markets myFT Digest -- delivered directly to your inbox. Volatility is becoming an asset class in its own right. A range of structured derivative products, particularly ...