New model predicts fair strikes for variance swaps in volatile markets.
The article discusses a new model for predicting fair prices of variance swaps, which are used to manage risk in volatile financial markets. The model combines different types of volatility factors to better capture market behavior. By using a hybrid approach, the researchers were able to calculate fair strike values for variance swaps more accurately. The model was validated through simulations, showing that it can predict price movements based on underlying asset and volatility information.