Título:

Hedging (Co)variance Risk with Variance Swaps

Autores:

José da Fonseca (Auckland U Technology)
Martino Grasselli (U Padova)
Florian Ielpo (Lombard Odier Darier Hentsch & Cie, Geneva)

Revista:

International Journal Of Theoretical And Applied Finance

Ano:

2011

Volume:

14

Número:

6

Páginas:

899-943

Códigos JEL:

C58 - Financial Econometrics
G11 - Portfolio Choice; Investment Decisions
G13 - Contingent Pricing; Futures Pricing