Swap De Variancia
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1. Futuros de swap de variância e volatilidade na BM&F - apreçamento e viabilidade de hedge / Variance and volatility swaps future contracts in BM&F pricing and hedge viability
A variance swap can theoretically be priced with na infinite string of vanilla call and put options if we consider that realized variance follows a purely diffusive process with continuous monitoring. In this dissertation, we will address the possible pricing differences that may arise if we consider that realized variance is discretely monitored. It will be
Publicado em: 2009