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  • Goldman-Sosin-Gatto floating lookbacks
  • Conze-Viswanathan fixed lookbacks
  • Demeterfi-Derman-Kamal-Zou variance swaps
  • Lookbacks and variance swaps

Lookbacks and variance swaps#

Payoffs on the extremes of the path, and on its realized variance: floating and fixed-strike lookbacks, and the replication of a variance swap by a strip of options.

Goldman-Sosin-Gatto floating lookbacks

Goldman-Sosin-Gatto floating lookbacks

Conze-Viswanathan fixed lookbacks

Conze-Viswanathan fixed lookbacks

Demeterfi-Derman-Kamal-Zou variance swaps

Demeterfi-Derman-Kamal-Zou variance swaps
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