Model-independent hedging strategies for variance swaps

DOI10.1007/s00780-012-0190-3zbMath1262.91134arXiv1104.4010OpenAlexW2152245377MaRDI QIDQ693029

Martin Klimmek, David G. Hobson

Publication date: 7 December 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.4010

zbMATH Keywords

jumpshedging strategiesvariance swapsSkorokhod embeddingmodel-independent boundsno-arbitrage prices

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (30)

Fine properties of the optimal Skorokhod embedding problem ⋮ Bounds for VIX futures given S{\&}P 500 smiles ⋮ The space of outcomes of semi-static trading strategies need not be closed ⋮ An explicit martingale version of the one-dimensional Brenier theorem ⋮ Model-independent bounds for option prices -- a mass transport approach ⋮ ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS ⋮ A trajectorial interpretation of Doob's martingale inequalities ⋮ Monotone martingale transport plans and Skorokhod embedding ⋮ Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Martingale optimal transport and robust hedging in continuous time ⋮ Robust price bounds for the forward starting straddle ⋮ MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS ⋮ Martingale optimal transport in the Skorokhod space ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Hedging with small uncertainty aversion ⋮ Model uncertainty and the pricing of American options ⋮ Tightness and duality of martingale transport on the Skorokhod space ⋮ A general property for time aggregation ⋮ A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM ⋮ A solution to the Monge transport problem for Brownian martingales ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Tightening robust price bounds for exotic derivatives ⋮ MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS ⋮ Pricing Variance Swaps on Time-Changed Markov Processes ⋮ NO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONS ⋮ Pathwise versions of the Burkholder-Davis-Gundy inequality ⋮ Root to Kellerer

Cites Work

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• Variation and share-weighted variation swaps on time-changed Lévy processes
• Robust hedging of the lookback option
• Dynamic spanning without probabilities
• Variance swaps on time-changed Lévy processes
• The minimum maximum of a continuous martingale with given initial and terminal laws
• Discretely sampled variance and volatility swaps versus their continuous approximations
• Robust Hedging of Barrier Options
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
• THE RANGE OF TRADED OPTION PRICES
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• On the Distribution of Maxima of Martingale

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