伯恩_品职助教 · 2021年09月10日
嗨,爱思考的PZer你好:
A volatility swap is a forward contract on future realized price volatility. Similarly, a variance swap is a forward contract on future realized price variance, where variance is the square of volatility.一般volatility swap就是这两个volatility swap or a variance swap。A volatility swap is a forward contract on future realized price volatility.根据定义,receiver才是收波动率。
----------------------------------------------努力的时光都是限量版,加油!
jianghaiyang · 2021年09月10日
这个和利率互换那个怎么区分,好像容易搞混