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Quantitative Finance · Glossary

What is Corridor variance swap?

Definition 14.9 Derivatives and Volatility · Chapter 14 — Variance Swaps and Volatility Derivatives

A corridor variance swap accrues realised variance only on days when the index is inside a range [L,U][L,U]. Its strip keeps the weights 2/K22/K^2 on strikes in [L,U][L,U] only.

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