论文标题
随机波动率模型中波动性掉期的非参数定价和对冲
Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models
论文作者
论文摘要
在本文中，零Vanna暗示的波动率近似是新鲜铸造的波动性掉期价格的估计，将其推广到经验丰富的波动差掉期。我们还得出了如何使用具有与交易直觉直接相关的权重的香草选项的条带来对冲的波动性掉期。此外，我们仅使用方差掉期来得出一阶和二阶对冲，以进行波动互动。与动态重新平衡连续的选项相比，由于动态交易差异的互换通常更便宜，而且操作量不那么麻烦，因此我们的结果使波动性掉期的对冲几乎都是可行的，而且既有稳定性。在随机波动率模型的类别中，我们的定价和对冲结果是独立的，并且几乎没有计算成本。
In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with weights that are directly related to trading intuition. Additionally, we derive first and second order hedges for volatility swaps using only variance swaps. As dynamically trading variance swaps is in general cheaper and operationally less cumbersome compared to dynamically rebalancing a continuous strip of options, our result makes the hedging of volatility swaps both practically feasible and robust. Within the class of stochastic volatility models our pricing and hedging results are model-independent and can be implemented at almost no computational cost.
