Efficient pricing and super-replication of corridor variance swaps and related products
Christoph Burgard and Olaf Torné
| Year of publication: |
February 2018
|
|---|---|
| Authors: | Burgard, Christoph ; Torné, Olaf |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 4, p. 79-96
|
| Subject: | corridor variance swap | conditional variance swap | super-replication | model independent replication | hedging error | Hedging | Swap | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2018.338 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011848417