Forums  > Pricing & Modelling  > Corridor Variance Swap Pricing  
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Total Posts: 7
Joined: Sep 2015
Posted: 2017-12-22 13:44

Can someone please provide any document/guidance related to pricing of corridor variance swap.



Total Posts: 55
Joined: Dec 2007
Posted: 2017-12-23 12:43
There is paper by Carr & Lewis on corr varswaps. But I suppose you've googled the paper / have it already?


Total Posts: 7
Joined: Sep 2015
Posted: 2017-12-27 10:52
Hi Frolloos,

I tried googling it but cannot find that particular paper. Can you help me with that.


Total Posts: 3423
Joined: Jun 2004
Posted: 2017-12-27 11:06

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken


Total Posts: 60
Joined: Mar 2007
Posted: 2018-02-28 15:49
Is anyone still doing these?

We had some product approval requests, and maybe even some trades, in the late noughties. (back in the day the latter wasn't necessarily dependent on the former).

But since 2010 I haven't heard "CVS" refer to anything other than a pharmacy.
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