Hedging variance options on continuous semimartingales
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Volume (Year): 14 (2010)
Issue (Month): 2 (April)
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References listed on IDEAS
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- David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
- Peter Carr & Hélyette Geman & Dilip Madan & Marc Yor, 2005. "Pricing options on realized variance," Finance and Stochastics, Springer, vol. 9(4), pages 453-475, October.