Variance Swap Replication: Discrete or Continuous?
AbstractThe popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication price is more relevant. View Full-Text
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Le Floc’h, F. Variance Swap Replication: Discrete or Continuous? J. Risk Financial Manag. 2018, 11, 11.
Le Floc’h F. Variance Swap Replication: Discrete or Continuous? Journal of Risk and Financial Management. 2018; 11(1):11.Chicago/Turabian Style
Le Floc’h, Fabien. 2018. "Variance Swap Replication: Discrete or Continuous?" J. Risk Financial Manag. 11, no. 1: 11.
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