Variance Swap Replication & Hedging Planner
Seed: implied_vol_surface, forward_curve, discrete_rebalancing_constraintsADVERTISEMENT - IN-ARTICLE
Implementation Guide
A planner that constructs variance-swap replication strategies using strip options and delta-hedges, models discrete rebalancing P&L and assesses hedging cost under liquidity constraints for volatility desks and corporate hedgers.
💡 Expert Q&A Insights
Q: Is replication exact?
Discretization and availability of strikes cause replication error; quantify and hedge residuals.
Q: How to hedge gamma exposure?
Use delta-hedged options and dynamic rebalancing with cost estimates.