A note on contracts on quadratic variation
نویسنده
چکیده
Given a Black stochastic volatility model for a future F, and a function g, we show that the price of [Formula: see text] can be represented by portfolios of put and call options. This generalizes the classical representation result for the variance swap. Further, in a local volatility model, we give an example based on Dupire's formula which shows how the theorem can be used to design variance related contracts with desirable characteristics.
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عنوان ژورنال:
دوره 12 شماره
صفحات -
تاریخ انتشار 2017