Quadratic hedging strategies for volatility swaps
Xingchun Wang, Jianping Fu, Guanying Wang, Yongjin Wang
| 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
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| Subject: | Variance-optimal hedging | Volatility swaps | Lévy processes | Föllmer-Schweizer decomposition | Hedging | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Swap | Zinsderivat | Interest rate derivative | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2015.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011553014