Pricing Volatility and Variance Swaps by Implied Trees

碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === Equity-index volatility and variance swaps offer an efficient way for traders to take synthetic positions in pure volatility. General pricing method for volatility and variance swaps uses the replication method in Demeterfi, Derman, Kamal, and Zou (1999). In thi...

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Bibliographic Details
Main Authors: Cheng Wu, 吳箏
Other Authors: 呂育道
Format: Others
Language:en_US
Published: 2008
Online Access:http://ndltd.ncl.edu.tw/handle/70657449833032245627