HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS

DOI10.1142/S021902491100670XzbMath1218.91157OpenAlexW3122674837MaRDI QIDQ5198954

Yukihiro Tsuzuki, Akihiko Takahashi, Akira Yamazaki

Publication date: 10 August 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491100670x

zbMATH Keywords

Black-Scholes delta hedgingEuropean derivativespolynomial variance swapuncertain volatility risk

Mathematics Subject Classification ID

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

Cites Work

• Pricing options on realized variance
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• Moment swaps
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