Hedging (co)variance risk with variance swaps
Year of publication: |
2011
|
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Authors: | Fonseca, José da ; Grasselli, Martino ; Ielpo, Florian |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 6, p. 899-943
|
Subject: | Wishart Affine Stochastic Correlation model | complete and incomplete markets | variance swaps | Fourier transform | Hedging | Swap | Stochastischer Prozess | Stochastic process | Unvollkommener Markt | Incomplete market | Volatilität | Volatility | Derivat | Derivative | Varianzanalyse | Analysis of variance | Optionspreistheorie | Option pricing theory |
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