volatility trade

Posted by Perissin Francesco on Jul 20, 2004; 6:14am
URL: http://quantlib.414.s1.nabble.com/volatility-trade-tp3072.html

Hi all,
I need to build a structure with the following constrains:
- I have to use only vanilla options and cash (same underlying, whatever...)
- I want to have a risk profile which is essentially long vega and with as low delta - gamma as possible.
- the overall structure should be capital-guaranteed (i.e. I cannot sell options "uncovered")

I know that there should be some articles about this issue, but I cannot find any...

is there anybody who know something about?

Thanks
Francesco

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