Model independent hedging strategies for variance swaps

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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Bibliografiske detaljer
Main Authors:	Hobson, D, Klimmek, M
Format:	Journal article
Sprog:	English
Udgivet:	2011

Lignende værker

Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
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Udgivet: (2010)

Effect of Variance Swap in Hedging Volatility Risk
af: Yang Shen
Udgivet: (2020-07-01)

Variance Swaps in BM&F: Pricing and Viability of Hedge
af: Richard John Brostowicz Junior, et al.
Udgivet: (2010-07-01)

Indifference Price and Optimal Hedging Performance for Variance Swaps
af: Chassenieux, T
Udgivet: (2009)

Robust Hedging of Variance Swaps: Discrete Sampling & Co-maturing European Options
af: Zhang, C
Udgivet: (2012)

Arbitrage Bounds for Prices of Weighted Variance Swaps
af: Davis, M, et al.
Udgivet: (2010)

Discounted-likelihood valuation of variance and volatility swaps
af: Napat Rujeerapaiboon, et al.
Udgivet: (2025-01-01)

Fair value hedges with swaps: accounting practice under IFRS
af: V.S. Ambarchian
Udgivet: (2019-12-01)

Mean‐variance hedging with basis risk
af: Xue, Xiaole, et al.
Udgivet: (2021)

Relaxing the Assumptions of Minimum-Variance Hedging
af: Sergio H. Lence
Udgivet: (1996-07-01)

Variance minimization and the theory of inflation hedging
af: Bodie, Zvi.
Udgivet: (2009)

On pricing variance swaps in discretely-sampled with high volatility model
af: Youssef El-Khatib, Mariam Zuwaid AlShamsi, Jun Fan
Udgivet: (2021-06-01)

Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
af: Shican Liu, et al.
Udgivet: (2021-01-01)

A stochastic hybrid model for pricing forward-start variance swaps
af: Roslan, Teh Raihana Nazirah
Udgivet: (2017)

A Stochastic Hybrid Model for Pricing Forward-Start Variance Swaps
af: Roslan, Teh Raihana Nazirah
Udgivet: (2017)

Mean-variance future hedging for security portfolio
af: A K Kerimov
Udgivet: (2014-12-01)

Cash flow hedges using interest rate swaps: accounting under IFRS
af: V.S. Ambarchian
Udgivet: (2020-06-01)

Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
af: Pun, Chi Seng, et al.
Udgivet: (2016)

Analytical pricing formulas for hybrid variance swaps with regime-switching
af: Roslan, Teh Raihana Nazirah, et al.
Udgivet: (2017)

Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching
af: Roslan, Teh Raihana Nazirah, et al.
Udgivet: (2017)

On Root's Barriers and Their Applications in Robust Pricing and Hedging of Variance Options
af: Huang, D
Udgivet: (2012)

The Use of Mean-Variance for Commodity Futures and Options Hedging Decisions
af: Philip Garcia, et al.
Udgivet: (1994-07-01)

Option‐based portfolio risk hedging strategy for gas generator based on mean‐variance utility model
af: Shuying Lai, et al.
Udgivet: (2022-02-01)

Pricing variance swaps under stochastic volatility and stochastic interest rate
af: Cao, Jiling, et al.
Udgivet: (2016)

Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case
af: Anqi Zou, et al.
Udgivet: (2023-06-01)

Arbitrage and hedging in model-independent markets with frictions
af: Burzoni, M
Udgivet: (2016)

Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
af: Cao, Jiling, et al.
Udgivet: (2018)

On the pricing of forward-start variance swaps with stochastic volatility and stochastic interest rate
af: Roslan, Teh Raihana Nazirah
Udgivet: (2017)

Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities
af: Anatoliy Swishchuk, et al.
Udgivet: (2023-09-01)

A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
af: Liyuan Jiang, et al.
Udgivet: (2021-01-01)

Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations
af: Guangchen Wang, et al.
Udgivet: (2011-01-01)

Dynamic model for hedging of the European stock sector with credit default swaps and EURO STOXX 50 volatility index futures
af: Rania Zghal, et al.
Udgivet: (2018-12-01)

Robust price bounds for the forward starting straddle
af: Hobson, D, et al.
Udgivet: (2015)

Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values
af: Hobson, D, et al.
Udgivet: (2010)

A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH
af: Henderson, V, et al.
Udgivet: (2002)

Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
af: Pornnapat Yamphram, et al.
Udgivet: (2023-02-01)

Valuation of discretely-sampled variance swaps under correlated stochastic volatility and stochastic interest rates
af: Roslan, Teh Raihana Nazirah, et al.
Udgivet: (2014)

The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
af: Jiling, Cao, et al.
Udgivet: (2020)

Analytical formulae for variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching
af: Xin-Jiang He, et al.
Udgivet: (2024-07-01)

Entanglement Swapping and Swapped Entanglement
af: Sultan M. Zangi, et al.
Udgivet: (2023-02-01)