Indifference Price and Optimal Hedging Performance for Variance Swaps

Eitemau Tebyg

• Variance Swaps in BM&F: Pricing and Viability of Hedge
  gan: Richard John Brostowicz Junior, et al.
  Cyhoeddwyd: (2010-07-01)
• Model independent hedging strategies for variance swaps
  gan: Hobson, D, et al.
  Cyhoeddwyd: (2011)
• Effect of Variance Swap in Hedging Volatility Risk
  gan: Yang Shen
  Cyhoeddwyd: (2020-07-01)
• Arbitrage Bounds for Prices of Weighted Variance Swaps
  gan: Davis, M, et al.
  Cyhoeddwyd: (2010)
• Robust Hedging of Variance Swaps: Discrete Sampling & Co-maturing European Options
  gan: Zhang, C
  Cyhoeddwyd: (2012)