Hedging (co)variance risk with variance swaps (Q3100994)
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scientific article; zbMATH DE number 5976537
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| English | Hedging (co)variance risk with variance swaps |
scientific article; zbMATH DE number 5976537 |
Statements
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (English)
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22 November 2011
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Wishart affine stochastic correlation model
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complete and incomplete markets
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variance swaps
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Fourier transform
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0.7744074463844299
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0.7581813931465149
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0.7523418664932251
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0.7471005320549011
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