Prices and Asymptotics for Discrete Variance Swaps

We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions (improving Broadie and Jain (2008a) in the case of the Heston model). We give conditions on parameters under which the fair strike of a discrete variance swap is higher or lower than that of the continuous variance swap. The interest rate and the correlation betw...