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hhb


Total Posts: 7
Joined: Sep 2015
 
Posted: 2017-12-22 13:44
Hi,

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

Regards,
hhb

frolloos


Total Posts: 38
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?

hhb


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.

pj


Total Posts: 3395
Joined: Jun 2004
 
Posted: 2017-12-27 11:06
http://bfy.tw/FkxF

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

Alpine


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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