Volatility Investing with Variance Swaps

DOI10.1007/978-3-642-17254-0_8zbMath1229.91309OpenAlexW1596289703MaRDI QIDQ3112458

Elena Silyakova, Wolfgang Karl Härdle

Publication date: 10 January 2012

Published in: Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-001.pdf

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Pricing generalized variance swaps under the Heston model with stochastic interest rates

Cites Work

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• Why is the Index Smile So Steep? *
• Statistics of financial markets. An introduction.

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