Optimal Investment in Variance Swaps Under Stochastic Volatility
Year of publication: |
2006-04-26
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Authors: | Egloff, Daniel ; Leippold, Markus ; Wu, Liuren |
Institutions: | Institut für Schweizerisches Bankwesen <Zürich> |
Subject: | Swap | Zinsstruktur | Term structure model |
Extent: | 252928 bytes 41 p. application/pdf |
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Series: | Working Paper ; 324 (2006) |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C52 - Model Evaluation and Testing ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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