Financial derivative that has a higher payout that is based on its variance rather than volatility.
Related information about variance swap:
- Variance swap - Wikipedia, the free encyclopedia
A variance swap is an over-the-counter financial derivative that allows one to speculate on or hedge risks associated with the magnitude of movement, i.e. ...
- Variance Swap Definition | Investopedia
A type of volatility swap where the payout is linear to variance rather than volatility. Therefore, the payout will rise at a higher rate than volatility.
- T - University of Chicago
May 1, 2007 ... A variance swap is an instrument which allows investors to trade ... Exhibit 1.1.1 — Variance Swap on S&P 500 : sample terms and conditions ...
- Why would an investor trade a variance swap over a volatility swap ...
Jul 23, 2011 ... Why would an investor trade a variance swap over a volatility swap? Is it simply related to the leverage involved in a Var (i.e. sigma-squared) or ...
- Variance swap - YouTube
Jul 19, 2010 ... A variance swap can be used to hedge tail risk. One counterparty (Sally the trader, in this example) pays a forward (fixed) variance in exchange ...
- VIX as a Variance Swap by Richard Diamond :: SSRN
Mar 29, 2012 ... Regardless its legacy name as a volatility index, VIX is calculated as a variance swap. Unlike an actual swap, variance swap is a forward ...
- Variance Swap - Financial Dictionary - The Free Dictionary
Variance Swap. Also found in: Wikipedia, 0.03 sec. Variance Swap. A forward contract on the variance of a security. The variance is the square of the standard ...
- Derivatives Strategy - February'2000: The Art of the Variance Swap
The variance swap is a contract in which two parties agree to exchange cash flows based on the measured variance of a specified underlying asset during a ...