The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
分析了标普500指数方差互换利率的期限结构，识别出两个随机方差风险因子，并发现由于方差风险的市场价格高度为负，投资者最优策略是做空短期方差互换、做多长期方差互换并做空股票指数。
Abstract This paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation, respectively. The highly negative estimate for the market price of variance risk makes it optimal for an investor to take short positions in a short-term variance swap contract, long positions in a long-term variance swap contract, and short positions in the stock index.