Hedging variance options on continuous semimartingales

Finance and Stochastics

Volumn 14, Issue 2, 2010, Pages 179-207

  Carr, Peter ^a   Lee, Roger ^b  

^a Bloomberg LP   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Continuous semimartingale; Price bounds; Subreplication; Superreplication; Variance option

Indexed keywords

EID: 77951258032     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-009-0110-3     Document Type: Article

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