VARIANCE SWAPS: A GUIDE TO VARIANCE SWAPS - For those keen to trade volatility as an asset class, varance swaps provide a safe entry point. They are analytically tractable, and easy to price and hedge.
| Year of publication: |
1999
|
|---|---|
| Authors: | Demeterfi, Kresimir ; Derman, Emanuel ; Kamal, Michael ; Zou, Joseph |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 12.1999, 6, p. 54-61
|