Robust Hedging of Variance Swaps: Discrete Sampling & Co-maturing European Options
In the practice of quantitative finance, model risk has raised significant concern and thus model-independent hedging is of particular interest to both academia and industry. In this thesis, we review two methods of constructing robust and model-independent hedging portfolios of variance swaps. One...
| প্রধান লেখক: | |
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| বিন্যাস: | গবেষণাপত্র |
| প্রকাশিত: |
University of Oxford;Mathematical Institute
2012
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