Pricing Volatility and Variance Swaps by Implied Trees
碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === Equity-index volatility and variance swaps offer an efficient way for traders to take synthetic positions in pure volatility. General pricing method for volatility and variance swaps uses the replication method in Demeterfi, Derman, Kamal, and Zou (1999). In thi...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/70657449833032245627 |