Effect of variance swap in hedging volatility risk
Year of publication: |
2020
|
---|---|
Authors: | Shen, Yang |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 8.2020, 3, p. 1-34
|
Publisher: |
Basel : MDPI |
Subject: | backward stochastic differential equation | efficient frontier | heston’ | s model | mean-variance portfolio selection | variance swap |
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