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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Detalles Bibliográficos
Autor principal: Lindberg, Carl
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2017
Materias:
Research Article
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
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author Lindberg, Carl
author_facet Lindberg, Carl
author_sort Lindberg, Carl
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description 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 an example based on Dupire’s formula which shows how the theorem can be used to design variance related contracts with desirable characteristics.
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spelling pubmed-53638542017-04-06 A note on contracts on quadratic variation Lindberg, Carl PLoS One Research Article 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 an example based on Dupire’s formula which shows how the theorem can be used to design variance related contracts with desirable characteristics. Public Library of Science 2017-03-23 /pmc/articles/PMC5363854/ /pubmed/28333971 http://dx.doi.org/10.1371/journal.pone.0174133 Text en © 2017 Carl Lindberg http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
spellingShingle Research Article
Lindberg, Carl
A note on contracts on quadratic variation
title A note on contracts on quadratic variation
title_full A note on contracts on quadratic variation
title_fullStr A note on contracts on quadratic variation
title_full_unstemmed A note on contracts on quadratic variation
title_short A note on contracts on quadratic variation
title_sort note on contracts on quadratic variation
topic Research Article
url 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
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