Exchange Currency

volatility swap

A forward contract that provides exposure to the volatility of an asset without exposure to changes in the price of the asset. A volatility swap allows investors to bet on the volatility of changes in the asset price, without making assumptions about the price itself within a given time period.

Related information about volatility swap:
  1. Volatility swap - Wikipedia, the free encyclopedia
    In finance, a volatility swap is a forward contract on the future realised volatility of a given underlying asset. Volatility swaps allow investors to trade the volatility ...
     
  2. Volatility Swap Definition | Investopedia
    A forward contract whose underlying is the volatility of a given product.
     
  3. SuperDerivatives - Glossary - Volatility swap in FX
    This page describes the volatility swap supported in SD-FX. For information on the volatility swap supported in SD-EQ, see Volatility Swap in EQ. Similar to the ...
     
  4. More Than You Ever Wanted to Know About - Emanuel Derman
    that they can be replicated by dynamically trading the more straightforward variance swap. As a result, the value of the volatility swap depends on the volatility of ...
     
  5. 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 ...
     
  6. Pricing and Hedging Volatility Derivatives - Columbia University
    Jan 10, 2008 ... of the realized variance, a volatility swap has a payoff which is a concave .... An investor who is long a volatility swap with strike 20% and a ...
     
  7. Volatility Swap - Financial Dictionary - The Free Dictionary
    A forward contract on the volatility of a security. The underlying of a volatility swap is usually the volatility of a currency. A volatility swap allows the investor to ...
     
  8. Volatility swap
    A volatility swap is a financial instrument where the realized volatility during an accrual period is exchanged for a fixed volatility. Both percentage volatilities are ...