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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	Hobson, D, Klimmek, M
स्वरूप:	Journal article
भाषा:	English
प्रकाशित:	2011

समान संसाधन

Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
द्वारा: Hobson, D, और अन्य
प्रकाशित: (2010)

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

Variance Swaps in BM&F: Pricing and Viability of Hedge
द्वारा: Richard John Brostowicz Junior, और अन्य
प्रकाशित: (2010-07-01)

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

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

Arbitrage Bounds for Prices of Weighted Variance Swaps
द्वारा: Davis, M, और अन्य
प्रकाशित: (2010)

Discounted-likelihood valuation of variance and volatility swaps
द्वारा: Napat Rujeerapaiboon, और अन्य
प्रकाशित: (2025-01-01)

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

Mean‐variance hedging with basis risk
द्वारा: Xue, Xiaole, और अन्य
प्रकाशित: (2021)

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

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

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

Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
द्वारा: Shican Liu, और अन्य
प्रकाशित: (2021-01-01)

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

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

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

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

Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
द्वारा: Pun, Chi Seng, और अन्य
प्रकाशित: (2016)

Analytical pricing formulas for hybrid variance swaps with regime-switching
द्वारा: Roslan, Teh Raihana Nazirah, और अन्य
प्रकाशित: (2017)

Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching
द्वारा: Roslan, Teh Raihana Nazirah, और अन्य
प्रकाशित: (2017)

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

The Use of Mean-Variance for Commodity Futures and Options Hedging Decisions
द्वारा: Philip Garcia, और अन्य
प्रकाशित: (1994-07-01)

Option‐based portfolio risk hedging strategy for gas generator based on mean‐variance utility model
द्वारा: Shuying Lai, और अन्य
प्रकाशित: (2022-02-01)

Pricing variance swaps under stochastic volatility and stochastic interest rate
द्वारा: Cao, Jiling, और अन्य
प्रकाशित: (2016)

Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case
द्वारा: Anqi Zou, और अन्य
प्रकाशित: (2023-06-01)

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

Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
द्वारा: Cao, Jiling, और अन्य
प्रकाशित: (2018)

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

Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities
द्वारा: Anatoliy Swishchuk, और अन्य
प्रकाशित: (2023-09-01)

A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
द्वारा: Liyuan Jiang, और अन्य
प्रकाशित: (2021-01-01)

Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations
द्वारा: Guangchen Wang, और अन्य
प्रकाशित: (2011-01-01)

Dynamic model for hedging of the European stock sector with credit default swaps and EURO STOXX 50 volatility index futures
द्वारा: Rania Zghal, और अन्य
प्रकाशित: (2018-12-01)

Robust price bounds for the forward starting straddle
द्वारा: Hobson, D, और अन्य
प्रकाशित: (2015)

Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values
द्वारा: Hobson, D, और अन्य
प्रकाशित: (2010)

A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH
द्वारा: Henderson, V, और अन्य
प्रकाशित: (2002)

Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
द्वारा: Pornnapat Yamphram, और अन्य
प्रकाशित: (2023-02-01)

Valuation of discretely-sampled variance swaps under correlated stochastic volatility and stochastic interest rates
द्वारा: Roslan, Teh Raihana Nazirah, और अन्य
प्रकाशित: (2014)

The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
द्वारा: Jiling, Cao, और अन्य
प्रकाशित: (2020)

Analytical formulae for variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching
द्वारा: Xin-Jiang He, और अन्य
प्रकाशित: (2024-07-01)

Entanglement Swapping and Swapped Entanglement
द्वारा: Sultan M. Zangi, और अन्य
प्रकाशित: (2023-02-01)