Static Replication of Forward-Start Claims and Realized Variance Swaps (Q3565101)
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scientific article; zbMATH DE number 5713111
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| English | Static Replication of Forward-Start Claims and Realized Variance Swaps |
scientific article; zbMATH DE number 5713111 |
Statements
Static Replication of Forward-Start Claims and Realized Variance Swaps (English)
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27 May 2010
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static replication
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realized variance swap
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binary option
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barrier option
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0.8687005
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0.8573649
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0.84150064
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0.8387347
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0.8377497
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0.8367366
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0.83659244
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