A conditional variance swap (also a corridor variance swap) in which realized volatility accrues when the underlying remains below a...
A conditional variance swap (also a corridor variance swap) in which realized volatility accrues when the underlying remains above a...
The volatility of volatility. A measure of volatility which supposes that volatility is a random market risk variable, rather than...
As a volatility derivative, it is an agreement (swap) that entails exchanging the realized volatility between the time of entering...
An agreement that a seller and a buyer enter into in order to exchange a straddle option at a specific...
A swap that entails the exchange of a single period's cash flows linked to the volatility of a specific market...
A swap that entails the exchange of a single period's cash flows linked to the volatility of a specific market...
An ex-post estimate of the price or return variation, regardless of direction, over a specific period of time. In other...
An enhanced alternative to a variance swap. In view of the insensitivity of variance swap to the level of the...