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    Hedging variance options on continuous semimartingales
    13 years 10 months ago
    Hedging variance options on continuous semimartingales
    Download  www.math.uchicago.edu
    We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process ...
    Peter Carr, Roger Lee
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