Static Replication of Forward-Start Claims and Realized Variance Swaps
Author
Abstract
Suggested Citation
DOI: 10.1080/13504860903075621
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- M.E. Mancino & S. Scotti & G. Toscano, 2020.
"Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
- Maria Elvira Mancino & Simone Scotti & Giacomo Toscano, 2020. "Is the variance swap rate affine in the spot variance? Evidence from S&P500 data," Papers 2004.04015, arXiv.org.
- Michael Schmutz & Thomas Zürcher, 2014. "Static Hedging with Traffic Light Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(7), pages 690-702, July.
- Ilya Molchanov & Michael Schmutz, 2009. "Exchangeability type properties of asset prices," Papers 0901.4914, arXiv.org, revised Apr 2011.
- Yukihiro Tsuzuki, 2012. "On the Optimal Super- and Sub-Hedging Strategies," CARF F-Series CARF-F-300, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2013.
More about this item
Keywords
Static replication; realized variance swap; binary option; barrier option;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apmtfi:v:17:y:2010:i:2:p:99-131. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAMF20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.