Static Replication of Forward-Start Claims and Realized Variance Swaps

DOI10.1080/13504860903075621MaRDI QIDQ3565101zbMATH OpenOpenAlexFDO

Authors Jan Baldeaux, Marek Rutkowski

Publication date 27 May 2010

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860903075621

zbMATH Keywords

barrier optionbinary optionstatic replicationrealized variance swap

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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• Semi-robust replication of barrier-style claims on price and volatility
• Pricing and hedging contingent claims using variance and higher order moment swaps

Cites work

• scientific article; zbMATH DE number 410743 (Why is no real title available?)
• Martingale methods in financial modelling.
• Pricing options on realized variance
• Towards a general theory of bond markets

Cited in

(5)

• Static replication of European standard dispersion options
• A Stieltjes approach to static hedges
• Exchangeability-type properties of asset prices
• Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
• On optimal super-hedging and sub-hedging strategies

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