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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Hobson, D, Klimmek, M
Formáid:	Journal article
Teanga:	English
Foilsithe / Cruthaithe:	2011

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