Pricing and Hedging Variance Swaps When Underlying Stock Returns are Discontinuous
碩士 === 輔仁大學 === 金融研究所 === 92 === Abstract Variance swaps are forward contracts that trade future realized variance during the contracted time. This paper proposes a more generalized pricing formula and hedging strategy for variance swaps. Demeterfi, Derman, Kamal, Zou(1999) dev...
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| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15189042411329537120 |