Browsing Closed by Author "Baldeaux, Jan"

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Browsing Closed by Author "Baldeaux, Jan"

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  • Baldeaux, Jan; Rutkowski, Marek (Routledge, 2010)
    The goal of this work is to examine the static replication of path-dependent derivatives such as realized variance swaps, using more standard products such as forward-start binary (i.e. digital) double calls and puts. We ...