Forward Volatility Agreement Black Scholes
can you buy Lyrica in canada From what I understand, an FVA is a swap on the future implied volatility of at-the-money, which is guaranteed by a front/straddle start option. A startup volatility swap is actually a swap on realized future volatility. In another thread, I wrote that Rolloos & Arslan wrote an interesting paper on price reconciliation without a Model spot Starting Volswap. Looking at FX in particular, but I think it`s a general question. any good reference would be appreciated. VAFs are not mentioned in Derman`s paper (“More than you ever wanted to know more about volatility swaps”) This is used to get a commitment to implied volatility in advance and generally resembles trading a dated longer option and reducing your gamma exposure with another option with a maturity equal to the starting date, by being constantly rebalanced, so that you are gamma-flat.