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Model independent hedging strategies for variance swaps

Abstract:

A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can be replicated exactly using a portfolio of puts and calls and a dynamic position in the asset. This fact forms the basis of the VIX contract. But what if we are in the more realistic setting whe...

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Publisher copy:
10.1007/s00780-012-0190-3

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Role:
Author
Journal:
Finance and Stochastics
Volume:
16
Issue:
4
Pages:
611-649
Publication date:
2011-04-20
DOI:
EISSN:
1432-1122
ISSN:
0949-2984
URN:
uuid:3975f3ce-c28a-44e7-a53f-4bccaa2bf981
Source identifiers:
369823
Local pid:
pubs:369823
Language:
English
Keywords:

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