On Carr and Lee’s Correlation Immunization Strategy

DOI10.1080/1350486X.2019.1598276zbMath1410.91458arXiv1809.10256OpenAlexW2921480097MaRDI QIDQ5382633

Jimin Lin, Matthew Lorig

Publication date: 18 June 2019

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

Full work available at URL: https://arxiv.org/abs/1809.10256

zbMATH Keywords

variancevolatilityquadratic variationrobust pricing

Mathematics Subject Classification ID

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

Related Items (1)

Robust replication of volatility and hybrid derivatives on jump diffusions

Cites Work

• Unnamed Item
• Variance swaps on time-changed Lévy processes
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
• Valuation of volatility derivatives as an inverse problem
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• Analysis of VIX Markets with a Time-Spread Portfolio
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• TARGET VOLATILITY OPTION PRICING

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