Forums  > Books & Papers  > Forward starting volatility swap price  
     
Page 1 of 1
Display using:  

frolloos


Total Posts: 54
Joined: Dec 2007
 
Posted: 2018-05-12 04:24
A working paper on model-free pricing of forward starting volatility swap:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3177299

Comments welcome of course.

alexandergir


Total Posts: 26
Joined: Dec 2007
 
Posted: 2018-06-07 13:11
We knew that fair vol swap is cost of gamma, and Rolloos & Arslan derived this in a few ways independently a couple years ago. Great to see this generalized to forward start! Thank you Frido.

frolloos


Total Posts: 54
Joined: Dec 2007
 
Posted: 2018-06-07 14:03
Me thinks there could be a small error in the paper actually - so advise to not use it for now :) Will let forum know when/if corrected.

EDIT:
Paper has been corrected and available for download again at given SSRN link. Conclusion hasn't changed, just the derivation of it. But contact me if any questions/comments.

Strange


Total Posts: 1501
Joined: Jun 2004
 
Posted: 2018-12-04 00:29
@frolloos

I am trying to play with the spot-starting version to imply var and vol swap strikes and getting results that make no sense. Do you mind pasting a numerical example?

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

frolloos


Total Posts: 54
Joined: Dec 2007
 
Posted: 2018-12-04 01:30
Which of my scribbles are you referring to? The "Taylor made" paper only tells you to approximate the volstrike from the d2=0 strike, not the varswap strike. The "It takes three" stuff approximates both the volstrike and varswap strike from 3 pillar options. Are you referring to the latter?

Strange


Total Posts: 1501
Joined: Jun 2004
 
Posted: 2018-12-04 05:01
It's the Takes Three paper, yes. I literally took 3 options from the Jan SPX expiration and tried to reproduce the calculation -ni.e. i take sensible vega/vanna/volga, but the matrix makes no sense.

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

frolloos


Total Posts: 54
Joined: Dec 2007
 
Posted: 2018-12-04 06:03
I sent you the simple workbook I used. Have a look and let me / phorum know if still getting nonsensical results.
Previous Thread :: Next Thread 
Page 1 of 1