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Estimation of Historical volatility and Allocation strategies using Variance Swaps

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  • Lucio Fiorin

Abstract

In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance Swaps

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  • Lucio Fiorin, 2022. "Estimation of Historical volatility and Allocation strategies using Variance Swaps," Papers 2208.03164, arXiv.org.
    • Handle: RePEc:arx:papers:2208.03164
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    References listed on IDEAS

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