Print Email Facebook Twitter Variance Swap Replication Title Variance Swap Replication: Discrete or Continuous? Author Le Floch, F.L.Y. (TU Delft Numerical Analysis; Calypso Technology) Date 2018 Abstract The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication price is more relevant. Subject variance swapvolatilityderivativesquantitative financeOA-Fund TU Delft To reference this document use: http://resolver.tudelft.nl/uuid:c0082042-a311-46af-bf05-e1c9377e3d69 DOI https://doi.org/10.3390/jrfm11010011 ISSN 1911-8066 Source Journal of Risk and Financial Management, 11 (1), 1-15 Part of collection Institutional Repository Document type journal article Rights © 2018 F.L.Y. Le Floch Files PDF jrfm_11_00011_v2.pdf 436.87 KB Close viewer /islandora/object/uuid:c0082042-a311-46af-bf05-e1c9377e3d69/datastream/OBJ/view