Re: Renaud, please do me a favor...
Yes, the vol swaps is precisely inside the Peter Carr framework : you suppose u are in a Black Scholes framework with a deterministic time-dependent volatility, u can write the today's expectation of the realized variance of the stock as a function of the todday's expectation of the logarithm of the stock at the expiry date.
Now by Carr's theorem, u can derive the expectation of the logarithm of the stock as a continuous portfolio of calls with different strikes (this portfolio can be discretized through a few (less than 10) options but this portfolio still contains far out of the money options)
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