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ARTÍCULO
TITULO

Forward Volatility Contract Pricing in the Brazilian Market

Jorge C. Kapotas    
Pedro Paulo Schirmer    
Sandro Magalhães Manteiga    

Resumen

In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime of the contract. It is shown how this expected value can be computed by means of an exotic option with logarithmic pay-off. We show how to statically replicate this pay-off in terms of a basket of synthetic vanilla call and put options. We apply this construction to the TNLP4 ticker of BOVESPA and synthetize a basket with pure exposure to volatility using actual market prices.

PÁGINAS
pp. pp. 1 - 21
MATERIAS
ECONOMÍA
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