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Hedging variance options on continuous semimartingales

Author

Listed:
  • Peter Carr
  • Roger Lee
Abstract
No abstract is available for this item.

Suggested Citation

  • Peter Carr & Roger Lee, 2010. "Hedging variance options on continuous semimartingales," Finance and Stochastics, Springer, vol. 14(2), pages 179-207, April.
    • Handle: RePEc:spr:finsto:v:14:y:2010:i:2:p:179-207
    DOI: 10.1007/s00780-009-0110-3
    as

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    References listed on IDEAS

    as
    1. Alexander Cox & David Hobson, 2005. "Local martingales, bubbles and option prices," Finance and Stochastics, Springer, vol. 9(4), pages 477-492, October.
    2. David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
    3. 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.
    4. Avi Bick, 1995. "Quadratic-Variation-Based Dynamic Strategies," Management Science, INFORMS, vol. 41(4), pages 722-732, April.
    5. Mark H. A. Davis & David G. Hobson, 2007. "The Range Of Traded Option Prices," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 1-14, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Continuous semimartingale; Variance option; Superreplication; Subreplication; Price bounds; 60G40; 60G48; 91B28; 91B70; C02; G13;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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