CUTTING EDGE: Volatility options - Realosed volatility and variance: options via swaps - The authors present explicit and readily applicable formulas for valuing options on realised variance and volatility. They use variance and volatility swaps - or alternatively vanilla options - as pricing benchmarks and hedging instruments. They also cover Vix options.
| Year of publication: |
2007
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|---|---|
| Authors: | Carr, Peter ; Lee, Roger |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 20.2007, 5, p. 76-83
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