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| Author: | Carr, P. Lewis, K. |
| Title: | Corridor variance swaps |
| Journal: | Risk
2004 : FEB, VOL. 17:2, p. 67-72 |
| Index terms: | financial models hedging investments swaps market |
| Language: | eng |
| Abstract: | This article examines a variation of a variance swap called a corridor variance swap (CVS). According to the writers, CVSs allow speculators to bet on both the level of the index and its realised variance calculation depending that the reference index level is outside some specified corridor. |
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