Model independent hedging strategies for variance swaps

A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can...

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التفاصيل البيبلوغرافية
المؤلفون الرئيسيون: Hobson, D, Klimmek, M
التنسيق: Journal article
اللغة:English
منشور في: 2011