Static Replication of Forward-Start Claims and Realized Variance Swaps

DOI10.1080/13504860903075621zbMATH Open1229.91297OpenAlexW2093426546MaRDI QIDQ3565101FDOQ3565101

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

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zbMATH Keywords

barrier optionbinary optionstatic replicationrealized variance swap

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• 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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