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Statements

Subject Item
dbr:Variance_swap
dbo:wikiPageWikiLink
dbr:Option_on_realized_variance
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dbr:Option_on_realized_variance
rdfs:label
Option on realized variance
rdfs:comment
In finance, an option on realized variance (or variance option) is a type of variance derivatives which is the derivative securities on which the payoff depends on the annualized realized variance of the return of a specified underlying asset, such as stock index, bond, exchange rate, etc. Another liquidated security of the same type is variance swap, which is, in other words, the futures contract on realized variance.
dcterms:subject
dbc:Derivatives_(finance) dbc:Statistical_deviation_and_dispersion dbc:Options_(finance)
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67969171
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1037423880
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dbr:Modified_Bessel_function dbr:Gamma_function dbr:Derivatives_pricing dbc:Statistical_deviation_and_dispersion dbr:Volatility_(finance) dbr:Variance_swap dbr:Heston_model dbr:Volatility_swap dbr:Delta-hedge dbc:Options_(finance) dbc:Derivatives_(finance) dbr:Probability_density_function dbr:Monte_Carlo_method dbr:Noncentral_chi-square_distribution dbr:Put-call_parity dbr:Black–Scholes
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dbo:abstract
In finance, an option on realized variance (or variance option) is a type of variance derivatives which is the derivative securities on which the payoff depends on the annualized realized variance of the return of a specified underlying asset, such as stock index, bond, exchange rate, etc. Another liquidated security of the same type is variance swap, which is, in other words, the futures contract on realized variance. With a similar notion to the vanilla options, variance options give the owner a right but without obligation to buy or sell the realized variance in exchange with some agreed price (variance strike) sometime in the future (expiry date), except that risk exposure is solely subjected to the price's variance itself. This property gains interest among traders since they can use it as an instrument to speculate the future movement of the asset volatility to, for example, a portfolio, without taking a directional risk of possessing the underlying asset.
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wikipedia-en:Option_on_realized_variance?oldid=1037423880&ns=0
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wikipedia-en:Option_on_realized_variance
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dbr:Option_on_realized_volatility
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dbr:Option_on_realized_variance
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dbr:Options_on_Realized_Variance
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dbr:Option_on_realized_variance
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dbr:Options_on_realized_variance
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dbr:Option_on_realized_variance
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dbr:Option_on_realized_variance