Quadratic hedging strategies for volatility swaps
Year of publication: |
November 2015
|
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Authors: | Wang, Xingchun ; Fu, Jianping ; Wang, Guanying ; Wang, Yongjin |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 15.2015, p. 125-132
|
Subject: | Variance-optimal hedging | Volatility swaps | Lévy processes | Föllmer-Schweizer decomposition | Volatilität | Volatility | Hedging | Swap | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management |
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