NuclearPhynance Archive

here you go.

thanks. that does not seem model independent to me - some process has to be chosen, or they use historical data.

i meant model independent in the sense that a varswap is model independent

true, one has to generate the paths somehow (though with an objective distribution which is intuitive to me).  I did like the fact that it simply operates in the price space and other things kinda just emerge (like the skew from historical data). Are you aware of anything that has this flavor to it? thanks.

> model independent in the

>sense that a varswap is model

> independent



Couldn't resist.



There do are some modelling assumptions made in there.