Model-independent hedging strategies for variance swaps
Year of publication: |
2012
|
---|---|
Authors: | Hobson, David ; Klimmek, Martin |
Published in: |
Finance and Stochastics. - Springer. - Vol. 16.2012, 4, p. 611-649
|
Publisher: |
Springer |
Subject: | Variance swaps | Jumps | Hedging strategies | Skorokhod embedding | No-arbitrage prices | Model-independent bounds |
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