Pricing methods and hedging strategies for volatility derivatives
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- Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers 144, University of California at Berkeley.
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- Sam Howison & Avraam Rafailidis & Henrik Rasmussen, 2004. "On the pricing and hedging of volatility derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(4), pages 317-346.
- Steven L. Heston & Saikat Nandi, 2000. "Derivatives on volatility: some simple solutions based on observables," Working Paper 2000-20, Federal Reserve Bank of Atlanta.
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