已存续波动率互换的模型无关定价与对冲
文章 arXiv papers · 作者: Frido Rolloos
总结
本文将零 Vanna 隐含波动率近似从新设立的波动率互换扩展到已存续合约。文章还介绍了两种波动率互换对冲方法：使用一篮子普通期权，或使用方差互换。一篮子期权的权重与交易直觉相联系，而方差互换方法包括一阶和二阶对冲。
其实际动机是，动态交易方差互换可能比持续重新平衡连续的期权组合成本更低、操作负担更小。作者称，在随机波动率模型范围内，其定价和对冲结果具有模型无关性，且计算量较小。摘录未提供数据集、数值测试、交易成本估算或市场摩擦下的对冲表现细节。因此，相关说法描述的是理论框架和实施理由，并未证明这些对冲方法在实盘市场中的表现。
核心观点
- 零 Vanna 隐含波动率近似被扩展到已存续的波动率互换。
- 可以使用一篮子普通期权构建波动率互换对冲。
- 方差互换可为波动率互换提供一阶和二阶对冲。
- 研究称，在随机波动率模型范围内，所提结果具有模型无关性。
- 摘录认为，方差互换对冲的操作可能比持续重新平衡期权组合更简单。
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# Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models # Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with weights that are directly related to trading intuition. Additionally, we derive first and second order hedges for volatility swaps using only variance swaps. As dynamically trading variance swaps is in general cheaper and operationally less cumbersome compared to dynamically rebalancing a continuous strip of options, our result makes the hedging of volatility swaps both practically feasible and robust. Within the class of stochastic volatility models our pricing and hedging results are model-independent and can be implemented at almost no computational cost.
在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0
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