Can I read Pricing Volatility Derivatives Simplified on EtoBox?

Pricing Volatility Derivatives Simplified by Vish Shah is a document available to read on EtoBox.

What is Pricing Volatility Derivatives Simplified about?

This document outlines a method for pricing volatility derivatives using only three near-the-money vanilla index options per maturity, with an extension for forward-starting options. It assumes a diffusion process for the index and provides a playful approach to derive approximate prices without complex mathematical rigor. The methodology includes approximating volatility swap and variance swap strikes, leading to a symmetric implied volatility smile for pricing derivatives.

Author

Vish Shah

Language

EN