On the pricing and hedging of volatility derivatives
We consider the pricing of a range of volatility derivatives, including volatility and variance swaps and swaptions. Under risk-neutral valuation we provide closed-form formulae for volatility-average and variance swaps for a variety of diffusion and jump-diffusion models for volatility. We describe...
| Hoofdauteurs: | , , |
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| Formaat: | Journal article |
| Gepubliceerd in: |
2003
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