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:
- 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 ...
- Volatility Swap Definition | Investopedia
A forward contract whose underlying is the volatility of a given product.
- 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 ...
- 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 ...
- 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 ...
- 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 ...
- 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 ...
- 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 ...