努同学2026-01-20 08:45:35

原版书上这句话看不懂，allows volatility sellers to sell variance swaps at a higher price than at-the-money options，这个跟atm option有什么关联？A feature of variance swaps that makes them particularly interesting to investors is that their payoffs are convex in volatility, as seen Exhibit 4. This convexity occurs because being long a variance swap is equivalent to be long a basket of options and short the underlying asset (typically by selling a futures contract). A long position in a variance swap is thus long gamma and has a convex payoff. This characteristic allows volatility sellers to sell variance swaps at a higher price than at-the-money options because the swap’s convex payoff profile is attractive to investors who desire a long volatility position as a tail risk hedge.