HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS
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Publication:5198954
DOI10.1142/S021902491100670XzbMath1218.91157MaRDI QIDQ5198954
Akira Yamazaki, Akihiko Takahashi, Yukihiro Tsuzuki
Publication date: 10 August 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Black-Scholes delta hedging; European derivatives; polynomial variance swap; uncertain volatility risk
91G20: Derivative securities (option pricing, hedging, etc.)