Indifference Price and Optimal Hedging Performance for Variance Swaps

Indifference Price and Optimal Hedging Performance for Variance Swaps

التفاصيل البيبلوغرافية
المؤلف الرئيسي:	Chassenieux, T
التنسيق:	أطروحة
منشور في:	Mathematical Institute;University of Oxford 2009

مواد مشابهة

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Analytical pricing formulas for hybrid variance swaps with regime-switching
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Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching
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On the pricing of forward-start variance swaps with stochastic volatility and stochastic interest rate
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Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
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Pseudo linear pricing rule for utility indifference valuation
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Price Uncertainty and Optimal Hedging in the Agricultural Market
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Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
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A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate
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Indifference Pricing in a Basis Risk Model with Stochastic Volatility
حسب: Lam, K
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Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
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The Use of Mean-Variance for Commodity Futures and Options Hedging Decisions
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Utility indifference
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Indifference and Complicity
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On the pricing and hedging of volatility derivatives
حسب: Howison, S, وآخرون
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