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Search: subject:"conditional corridor variance swaps"
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conditional corridor variance swaps
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moment methods
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operator methods
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variance knockout options
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volatility derivatives
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Albanese, Claudio
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Osseiran, Adel
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Moment Methods for Exotic Volatility Derivatives
Albanese, Claudio
;
Osseiran, Adel
-
Volkswirtschaftliche Fakultät, …
-
2007
variance knockouts,
conditional
corridor
variance
swaps
, gamma swaps and variance swaptions and give valuation formulas in …
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