Model-independent lower bound on variance SWAPS
Year of publication: |
October 2016
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Authors: | Kahalé, Nabil |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 4, p. 939-961
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Subject: | model risk | hedging | subreplication | realized variance | variance swap | Finanzkrise | Financial crisis | Theorie | Theory | Swap | Hedging | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Portfolio-Management | Portfolio selection |
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