Indifference Price and Optimal Hedging Performance for Variance Swaps
Главный автор: | Chassenieux, T |
---|---|
Формат: | Диссертация |
Опубликовано: |
Mathematical Institute;University of Oxford
2009
|
Схожие документы
-
Variance Swaps in BM&F: Pricing and Viability of Hedge
по: Richard John Brostowicz Junior, и др.
Опубликовано: (2010-07-01) -
Model independent hedging strategies for variance swaps
по: Hobson, D, и др.
Опубликовано: (2011) -
Effect of Variance Swap in Hedging Volatility Risk
по: Yang Shen
Опубликовано: (2020-07-01) -
Arbitrage Bounds for Prices of Weighted Variance Swaps
по: Davis, M, и др.
Опубликовано: (2010) -
Robust Hedging of Variance Swaps: Discrete Sampling & Co-maturing European Options
по: Zhang, C
Опубликовано: (2012)