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Quantitative Finance · Glossaire

Qu'est-ce que « Log contract » ?

Definition 14.5 Derivatives and Volatility · Chapitre 14 — Variance Swaps and Volatility Derivatives

The log contract pays ln⁡(ST/F)\ln(S_T/F) at TT. Its price, −12σVS2T-\frac12\sigma_{\mathrm{VS}}^2T with zero rates, is the variance-swap strike in another unit. It is not listed, and is traded as its option strip.

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