Model-independent lower bound on variance SWAPS
Nabil Kahalé
| 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 | Hedging | Swap | Theorie | Theory | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12083 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011583815