On the pricing and hedging of volatility derivatives
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References listed on IDEAS
- Lucas, Andre & Klaassen, Pieter & Spreij, Peter & Straetmans, Stefan, 2001.
"An analytic approach to credit risk of large corporate bond and loan portfolios,"
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
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- repec:eee:apmaco:v:250:y:2015:i:c:p:920-933 is not listed on IDEAS
- Leunglung Chan & Eckhard Platen, 2010. "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers 1007.2968, arXiv.org, revised Jan 2011.
- repec:eee:ejores:v:262:y:2017:i:1:p:381-400 is not listed on IDEAS
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