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Paper / 2026SMQ / 204772115357938
The Delta of a Variance Swap
Sebastian Gaitan-Escarpeta / Sébastien Bossu
derivativesResource overview

The Delta of a Variance Swap

Paper2026

by Sebastian Gaitan-Escarpeta, Sébastien Bossu

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derivatives

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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