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...
| 主要な著者: | , |
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| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
2011
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