Dynamic Replicaton of Variance Swaps with Three Options
The article explains how three vanilla options can be used to delta hedge a variance swap, assuming the market smile is influenced by a stochastic volatility model.
Featured in No. 12 on 17 Aug 2023 · 1 day after release · 0 citations today
- Released
- 16 Aug 2023
- First featured
- No. 12 · 17 Aug 2023
- Citations (Semantic Scholar)
- 0
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- 0
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- 43
- Identifier
- SSRN 4542475
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