The term structure of variance swap rates and optimal variance swap investments

Journal of Financial and Quantitative Analysis

Volumn 45, Issue 5, 2010, Pages 1279-1310

  Egloff, Daniel ^a   Leippold, Markus ^b   Wu, Liuren ^c  

^a QuantCatalyst   (Switzerland)

^b UNIVERSITY OF ZURICH   (Switzerland)

^c CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77956097492     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.1017/S0022109010000463     Document Type: Article

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