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...
| Հիմնական հեղինակ: | |
|---|---|
| Ձևաչափ: | Թեզիս |
| Հրապարակվել է: |
University of Oxford;Mathematical Institute
2012
|