New formula simplifies pricing of forward-start variance swaps with stochastic volatility.
The article presents a new method to price forward-start variance swaps using a specific model of stochastic volatility. The researchers developed formulas to calculate the price of these swaps based on different ways of measuring realized variance. This approach allows for easy calculation of prices for forward-start variance swaps and helps explore important properties of these financial instruments. The findings suggest that this method can be applied to pricing variance swaps using other stochastic volatility models.