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...

書誌詳細
主要な著者:	Hobson, D, Klimmek, M
フォーマット:	Journal article
言語:	English
出版事項:	2011

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