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...

Mô tả đầy đủ

Chi tiết về thư mục
Những tác giả chính:	Hobson, D, Klimmek, M
Định dạng:	Journal article
Ngôn ngữ:	English
Được phát hành:	2011

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