Variance dispersion and correlation swaps
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References listed on IDEAS
- Brenner, Menachem & Ou, Ernest Y. & Zhang, Jin E., 2006. "Hedging volatility risk," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 811-821, March.
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- repec:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375 is not listed on IDEAS
- Yuhong Xu, 2014. "Robust valuation and risk measurement under model uncertainty," Papers 1407.8024, arXiv.org.
More about this item
- E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-11 (All new papers)
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