Indifference Price and Optimal Hedging Performance for Variance Swaps
Hovedforfatter: | Chassenieux, T |
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Format: | Thesis |
Udgivet: |
Mathematical Institute;University of Oxford
2009
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Lignende værker
-
Variance Swaps in BM&F: Pricing and Viability of Hedge
af: Richard John Brostowicz Junior, et al.
Udgivet: (2010-07-01) -
Model independent hedging strategies for variance swaps
af: Hobson, D, et al.
Udgivet: (2011) -
Effect of Variance Swap in Hedging Volatility Risk
af: Yang Shen
Udgivet: (2020-07-01) -
Arbitrage Bounds for Prices of Weighted Variance Swaps
af: Davis, M, et al.
Udgivet: (2010) -
Robust Hedging of Variance Swaps: Discrete Sampling & Co-maturing European Options
af: Zhang, C
Udgivet: (2012)