HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS (Q5198954): Difference between revisions
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Latest revision as of 12:03, 30 July 2024
scientific article; zbMATH DE number 5937827
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS |
scientific article; zbMATH DE number 5937827 |
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HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS (English)
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10 August 2011
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European derivatives
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Black-Scholes delta hedging
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uncertain volatility risk
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polynomial variance swap
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