Model-independent hedging strategies for variance swaps (Q693029)
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scientific article
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Model-independent hedging strategies for variance swaps |
scientific article |
Statements
Model-independent hedging strategies for variance swaps (English)
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7 December 2012
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variance swaps
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jumps
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hedging strategies
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Skorokhod embedding
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no-arbitrage prices
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model-independent bounds
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0.8611810207366943
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0.8510905504226685
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0.8273425698280334
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0.8181217312812805
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0.8120842576026917
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