Forward variance dynamics: Bergomi's model revisited (Q4585902)
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scientific article; zbMATH DE number 6934623
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| English | Forward variance dynamics: Bergomi's model revisited |
scientific article; zbMATH DE number 6934623 |
Statements
Forward Variance Dynamics: Bergomi’s Model Revisited (English)
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11 September 2018
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variance swap
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forward variance
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VIX futures
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VIX options
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implied volatility
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hedging
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0.844205915927887
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0.8442056775093079
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0.8289914727210999
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0.8246415853500366
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0.8127861618995667
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