Model-independent hedging strategies for variance swaps
Model-independent hedging strategies for variance swaps
复制标题
与模型无关的方差互换对冲策略
DOI：
10.1007/s00780-012-0190-3
复制
发表时间：
2011
影响因子：
1.7
通讯作者：
Martin Klimmek
中科院分区：
文献类型：
--
作者：
D. Hobson;Martin Klimmek
差价互换是一种具有路径依赖回报的衍生品，允许投资者对资产的未来变异性建立头寸。在写在具有连续路径的资产上的连续监测的方差掉期的理想设置中，众所周知，可以使用看跌和看涨的投资组合和资产中的动态头寸精确地复制方差掉期收益。这一事实构成了波动率指数合同的基础。但如果我们处于更现实的环境中，合同基于离散监控，且基础资产可能出现跳跃，该怎么办？我们证明了可以得到与模型无关的、无套利的方差掉期价格的界，以及相应的亚复制和超复制策略。进一步，我们刻画了最优界。套期保值的形式在很大程度上取决于用于定义方差互换的核心。
A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths, it is well known that the variance swap payoff can be replicated exactly using a portfolio of puts and calls and a dynamic position in the asset. This fact forms the basis of the VIX contract.But what if we are in the more realistic setting where the contract is based on discrete monitoring, and the underlying asset may have jumps? We show that it is possible to derive model-independent, no-arbitrage bounds on the price of the variance swap, and corresponding sub- and super-replicating strategies. Further, we characterise the optimal bounds. The form of the hedges depends crucially on the kernel used to define the variance swap.