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...
| Päätekijät: | , |
|---|---|
| Aineistotyyppi: | Journal article |
| Kieli: | English |
| Julkaistu: |
2011
|