NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Simple Variance Swaps

Ian Martin

NBER Working Paper No. 16884
Issued in March 2011

---- Acknowledgements -----

I am very grateful to Peter Carr, Darrell Duffie, Stefan Hunt, and Myron Scholes for their comments. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.

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