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Robust Hedging of Variance Swaps: Discrete Sampling & Co-maturing European Options

Abstract:

In the practice of quantitative finance, model risk has raised significant concern and thus model-independent hedging is of particular interest to both academia and industry. In this thesis, we review two methods of constructing robust and model-independent hedging portfolios of variance swaps. One of them assumes a continuum of European options trade but does not require the underlying asset's price path to be continuous. However, the other assumes finite number of options quoted but require...

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Chaoyan Zhang More by this author
Publication date:
2012-07-05
URN:
uuid:b5ad6289-a024-4b89-8d08-38f89de3adb7
Local pid:
oai:eprints.maths.ox.ac.uk:1581

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