Static Replication of Forward-Start Claims and Realized Variance Swaps

DOI10.1080/13504860903075621zbMath1229.91297OpenAlexW2093426546MaRDI QIDQ3565101

Marek Rutkowski, Jan Baldeaux

Publication date: 27 May 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903075621

zbMATH Keywords

barrier optionbinary optionstatic replicationrealized variance swap

Mathematics Subject Classification ID

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

Related Items (5)

Exchangeability-type properties of asset prices ⋮ A Stieltjes Approach to Static Hedges ⋮ Static replication of European standard dispersion options ⋮ Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data ⋮ ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES

Cites Work

• Martingale methods in financial modelling.
• Towards a general theory of bond markets
• Pricing options on realized variance
• Unnamed Item

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