Variance and volatility swaps are forward contracts on realized
variance/volatility... varswaps/volatility swaps can be priced using
replication strategy resulting in replicating static portfolio of call/put
options for variance swap or dynamic portfolio of options for volatililty
Following books cover both volatility modeling as well as volatility
Gatheral - Volatility Surface
Austing - Smile Pricing Explained
On Mon, 12 Feb 2018 at 21:57, Oleg Mubarakshin <oleg.mubaraks...@gmail.com>
> Hi Chris,
> If you are looking for a number (not a smile or a surface) of volatility,
> probably a variance swap methodology can help you with it
> please start with it
> if it fits - googling
> Kind regards,
> On Thu, Feb 8, 2018 at 8:42 PM, Christofer Bogaso <
> bogaso.christo...@gmail.com> wrote:
> > Hi,
> > Let say I have an Option chain for a typical Equity underlying with
> > varying Strike prices and for both Call and Put. Option chain is
> > available for multiple maturities.
> > Based on above information, I would require to come up with a single
> > Annualized volatility (implied) number for the underlying Equity.
> > Can somebody point me, how this can be done in practice? Any research
> > paper, Weblink will be highly appreciated.
> > Thanks for your time.
> > _______________________________________________
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> Kind Regards,
> Oleg Mubarakshin
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