Pricing methods and hedging strategies for volatility derivatives

Journal of Banking and Finance

Volumn 30, Issue 2, 2006, Pages 409-431

  Windcliff, Heath ^a   Forsyth, P A ^b   Vetzal, K R ^b  

^a Morgan Stanley   (United States)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Jump diffusion; Local volatility surface; Risk management; Volatility derivatives

Indexed keywords

EID: 32944456329     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.04.025     Document Type: Article

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