Pages that link to "Item:Q693029"
From MaRDI portal
The following pages link to Model-independent hedging strategies for variance swaps (Q693029):
Displaying 46 items.
- An explicit martingale version of the one-dimensional Brenier theorem (Q309163) (← links)
- Path dependence and biases in the even swaps decision analysis method (Q321062) (← links)
- Model-independent bounds for option prices -- a mass transport approach (Q354188) (← links)
- A trajectorial interpretation of Doob's martingale inequalities (Q363856) (← links)
- Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps (Q373844) (← links)
- Martingale optimal transport and robust hedging in continuous time (Q466902) (← links)
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
- Robust price bounds for the forward starting straddle (Q486935) (← links)
- Martingale optimal transport in the Skorokhod space (Q492958) (← links)
- Hedging with small uncertainty aversion (Q503389) (← links)
- Model uncertainty and the pricing of American options (Q503400) (← links)
- Tightness and duality of martingale transport on the Skorokhod space (Q511137) (← links)
- Robust hedging of options on a leveraged exchange traded fund (Q670750) (← links)
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (Q737181) (← links)
- Consistent variance curve models (Q854272) (← links)
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index (Q1682600) (← links)
- It only takes a few moments to hedge options (Q1734554) (← links)
- Variance swaps on time-changed Lévy processes (Q1761447) (← links)
- A general property for time aggregation (Q2030709) (← links)
- A solution to the Monge transport problem for Brownian martingales (Q2039418) (← links)
- Fine properties of the optimal Skorokhod embedding problem (Q2119390) (← links)
- Quadratic variation, models, applications and lessons (Q2170296) (← links)
- Heston model: the variance swap calibration (Q2247916) (← links)
- Pathwise versions of the Burkholder-Davis-Gundy inequality (Q2345124) (← links)
- Bounds for VIX futures given S{\&}P 500 smiles (Q2364530) (← links)
- The space of outcomes of semi-static trading strategies need not be closed (Q2364534) (← links)
- Monotone martingale transport plans and Skorokhod embedding (Q2402432) (← links)
- Model uncertainty, recalibration, and the emergence of delta-vega hedging (Q2412385) (← links)
- Pathwise superreplication via Vovk's outer measure (Q2412395) (← links)
- Hedging variance options on continuous semimartingales (Q2430256) (← links)
- A model-free version of the fundamental theorem of asset pricing and the super-replication theorem (Q2799994) (← links)
- Model-independent lower bound on variance swaps (Q2831008) (← links)
- Swap rate variance swaps (Q2893208) (← links)
- Arbitrage bounds for prices of weighted variance swaps (Q2927953) (← links)
- MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS (Q3069956) (← links)
- Pricing Variance Swaps on Time-Changed Markov Processes (Q4999901) (← links)
- MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS (Q5148008) (← links)
- Tightening robust price bounds for exotic derivatives (Q5212058) (← links)
- Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation (Q5235053) (← links)
- NO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONS (Q5256840) (← links)
- Root to Kellerer (Q5270093) (← links)
- Robust replication of volatility and hybrid derivatives on jump diffusions (Q6054385) (← links)
- Supermartingale Brenier's theorem with full-marginals constraint (Q6134136) (← links)
- Short Communication: A Primer on Perpetuals (Q6159073) (← links)
- Weighted variance swaps hedge against impermanent loss (Q6166206) (← links)
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information (Q6619585) (← links)