Using a change of order of integration between strike and spot, demonstrate that the expectation of the
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Using a change of order of integration between strike and spot, demonstrate that the expectation of the variance swap log payoff V =
log 
reduces to the 1/K2 weighted replication formula given in (4.21). By substituting z = log(F/K) derive (4.23), and hence demonstrate that the delta of a variance swap at instantiation will be identically zero if and only if the vol surface is fixed in z space
(sticky-delta move). Demonstrate that this is equivalent to the surface being fixed as a function of 
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Related Book For 
The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market
ISBN: 9781848167728,9781908979582
1st Edition
Authors: George Kaye
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