Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Assume a 6 M variance swap has strike 1 6 % , and $ 1 m vega. Assume the implied volatility doubles, what is the

Assume a 6M variance swap has strike 16%, and $1m vega.
Assume the implied volatility doubles, what is the vega at the new volatility level?
What is the max amount one can lose if long the variance swap?
Is Gamma of this variance swap higher or lower than one with the same characteristics but with 1M maturity?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Finance Applications And Theory

Authors: Marcia Cornett, Troy Adair, John Nofsinger

5th Edition

1260013987, 9781260013986

More Books

Students also viewed these Finance questions

Question

Would you recommend this program to your employer? Why?

Answered: 1 week ago