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A note on contracts on quadratic variation
Given a Black stochastic volatility model for a future F, and a function g, we show that the price of [Image: see text] can be represented by portfolios of put and call options. This generalizes the classical representation result for the variance swap. Further, in a local volatility model, we give...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2017
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5363854/ https://www.ncbi.nlm.nih.gov/pubmed/28333971 http://dx.doi.org/10.1371/journal.pone.0174133 |