Simple Variance Swaps
收藏NBER2011-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w16884
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资源简介：
The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused the single-name variance swap market to dry up completely. This paper defines and analyzes a simple variance swap, a relative of the variance swap that in several respects has more
提供机构：
美国国家经济研究局
创建时间：
2011-03-01
