Model-independent hedging strategies for variance swaps (Q693029): Difference between revisions

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-David G. Hobson
@@ Property / author: David G. Hobson / rank @@
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+David G. Hobson
@@ Property / author: David G. Hobson / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2152245377
@@ Property / OpenAlex ID: W2152245377 / rank @@
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@@ Property / arXiv ID @@
+.4010
@@ Property / arXiv ID: 1104.4010 / rank @@
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@@ Property / cites work @@
+Dynamic spanning without probabilities
@@ Property / cites work: Dynamic spanning without probabilities / rank @@
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@@ Property / cites work @@
+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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@@ Property / cites work @@
+Robust Hedging of Barrier Options
@@ Property / cites work: Robust Hedging of Barrier Options / rank @@
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@@ Property / cites work @@
+Variation and share-weighted variation swaps on time-changed Lévy processes
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@@ Property / cites work @@
+Variance swaps on time-changed Lévy processes
@@ Property / cites work: Variance swaps on time-changed Lévy processes / rank @@
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@@ Property / cites work @@
+THE RANGE OF TRADED OPTION PRICES
@@ Property / cites work: THE RANGE OF TRADED OPTION PRICES / rank @@
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@@ Property / cites work @@
+On the Distribution of Maxima of Martingale
@@ Property / cites work: On the Distribution of Maxima of Martingale / rank @@
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@@ Property / cites work @@
+Robust hedging of the lookback option
@@ Property / cites work: Robust hedging of the lookback option / rank @@
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@@ Property / cites work @@
+The minimum maximum of a continuous martingale with given initial and terminal laws
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@@ Property / cites work @@
+Discretely sampled variance and volatility swaps versus their continuous approximations
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@@ Property / cites work @@
+Q4596270
@@ Property / cites work: Q4596270 / rank @@
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@@ Property / cites work @@
+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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