Baldeaux, Jan; Rutkowski, Marek - In: Applied Mathematical Finance 17 (2010) 2, pp. 99-131
The goal of this work is to examine the static replication of path-dependent derivatives such as realized variance swaps, using more standard products such as forward-start binary (i.e. digital) double calls and puts. We first examine, following Carr and Madan (2002), the static replication of...
