A note on contracts on quadratic variation.
Given a Black stochastic volatility model for a future F, and a function g, we show that the price of [Formula: see text] can be represented by portfolios of put and call options. This generalizes the classical representation result for the variance swap. Further, in a local volatility model, we giv...
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| Format: | Article |
| Language: | English |
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Public Library of Science (PLoS)
2017-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC5363854?pdf=render |