The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication price is more relevant.Numerical Analysi
The Treynor and Mazuy framework is a widely used return-based model of market timing. However, exist...
In a nonparametric setting, we develop trading strategies to replicate volatility derivatives – cont...
Most of the existing pricing models of variance derivative products assume continuous sampling of th...
The popular replication formula to price variance swaps assumes continuity of traded option strikes....
In this dissertation, we create a portfolio of simple vanilla put and call options as an optimal app...
In this paper we investigate pricing of variance swaps contracts. The literature is mostly dedicated...
A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options c...
We examine the pricing of variance swaps and some generalisations and variants such as self- quantoe...
This study examines the effects of time-varying volatility and transaction costs on replication of f...
In this paper, we present a highly efficient approach to price variance swaps with discrete sampling...
This study presents a set of closed-form exact solutions for pricing discretely sampled variance swa...
In this paper, we present a highly efficient approach to price variance swaps with discrete sampling...
Most of the existing pricing models of variance derivative products assume contin-uous sampling of t...
A variance swap is a derivative with a path-dependent payoff which allows investors to take position...
Convexity correction arises when one computes the expected value of an interest rate index under a p...
The Treynor and Mazuy framework is a widely used return-based model of market timing. However, exist...
In a nonparametric setting, we develop trading strategies to replicate volatility derivatives – cont...
Most of the existing pricing models of variance derivative products assume continuous sampling of th...
The popular replication formula to price variance swaps assumes continuity of traded option strikes....
In this dissertation, we create a portfolio of simple vanilla put and call options as an optimal app...
In this paper we investigate pricing of variance swaps contracts. The literature is mostly dedicated...
A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options c...
We examine the pricing of variance swaps and some generalisations and variants such as self- quantoe...
This study examines the effects of time-varying volatility and transaction costs on replication of f...
In this paper, we present a highly efficient approach to price variance swaps with discrete sampling...
This study presents a set of closed-form exact solutions for pricing discretely sampled variance swa...
In this paper, we present a highly efficient approach to price variance swaps with discrete sampling...
Most of the existing pricing models of variance derivative products assume contin-uous sampling of t...
A variance swap is a derivative with a path-dependent payoff which allows investors to take position...
Convexity correction arises when one computes the expected value of an interest rate index under a p...
The Treynor and Mazuy framework is a widely used return-based model of market timing. However, exist...
In a nonparametric setting, we develop trading strategies to replicate volatility derivatives – cont...
Most of the existing pricing models of variance derivative products assume continuous sampling of th...
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