HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS (Q5198954)
From MaRDI portal
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 |
Statements
HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS (English)
0 references
10 August 2011
0 references
European derivatives
0 references
Black-Scholes delta hedging
0 references
uncertain volatility risk
0 references
polynomial variance swap
0 references
