Hedging variance options on continuous semimartingales
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References listed on IDEAS
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More about this item
KeywordsContinuous semimartingale; Variance option; Superreplication; Subreplication; Price bounds; 60G40; 60G48; 91B28; 91B70; C02; G13;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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