Understanding Variance Swap Pricing #shorts

Roman Paolucci · Intermediate ·🔢 Mathematical Foundations ·1mo ago

About this lesson

@QuantGuild Video Title: How Goldman Sachs Prices Variance Swaps This video explains how to determine the fair price, delivery price, or implied variance strike (K_var) for a forward contract on annualized variance for a specific underlying. #VarianceSwaps #FinancialDerivatives #QuantFinance #GoldmanSachs

Original Description

@QuantGuild Video Title: How Goldman Sachs Prices Variance Swaps This video explains how to determine the fair price, delivery price, or implied variance strike (K_var) for a forward contract on annualized variance for a specific underlying. #VarianceSwaps #FinancialDerivatives #QuantFinance #GoldmanSachs

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