---
title: Dynamic Replicaton of Variance Swaps with Three Options
url: https://www.ml-quant.com/papers/ssrn/4542475/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4542475
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4542475
featured: 2023-08-17
citations: 0
topic: Derivatives & Volatility
---


# Dynamic Replicaton of Variance Swaps with Three Options

The article explains how three vanilla options can be used to delta hedge a variance swap, assuming the market smile is influenced by a stochastic volatility model.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4542475
- Identifier: SSRN 4542475
- Released: 2023-08-16
- First featured: Quant Letter No. 12 (2023-08-17): https://www.ml-quant.com/issues/2023-08-17/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Derivatives & Volatility

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