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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - In: Journal of banking & finance 62 (2016), pp. 62-75

Persistent link: https://www.econbiz.de/10011634054

Model-independent lower bound on variance SWAPS

Kahalé, Nabil - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 939-961

Persistent link: https://www.econbiz.de/10011583815

Quadratic variance swap models

Filipović, Damir; Gourier, Elise; Mancini, Loriano - In: Journal of financial economics 119 (2016) 1, pp. 44-68

Persistent link: https://www.econbiz.de/10011589703

The bond benchmark continues to tip to swaps

Kreicher, Lawrence; McCauley, Robert N.; Wooldridge, … - In: BIS quarterly review : international banking and … (2017), pp. 69-79

Persistent link: https://www.econbiz.de/10011668200

The failure of covered interest parity : FX hedging demand and costly balance sheets

Sushko, Vladyslav; Borio, Claudio E. V.; McCauley, Robert N. - 2016 - This version: 30 October, 2016

Persistent link: https://www.econbiz.de/10011609852

Derivatives markets and managed money : implications for price discovery

Arburn, Gregory; Harper, Laura - In: The international journal of business and finance … 13 (2019) 1, pp. 53-61

Persistent link: https://www.econbiz.de/10012005806

Exploring mispricing in the term structure of CDS spreads

Jarrow, Robert A.; Li, Haitao; Ye, Xiaoxia; Hu, May - In: Review of finance : journal of the European Finance … 23 (2019) 1, pp. 161-198

Persistent link: https://www.econbiz.de/10012035080

Optimal investment of variance-swaps in jump-diffusion market with regime-switching

Bo, Lijun; Tang, Dan; Wang, Yongjin - In: Journal of economic dynamics & control 83 (2017), pp. 175-197

Persistent link: https://www.econbiz.de/10011915585

No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs

Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701

Persistent link: https://www.econbiz.de/10011350542

Variance swap replication : discrete or continuous?

Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15

The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...

Persistent link: https://www.econbiz.de/10011855148