Estimation of Historical volatility and Allocation strategies using Variance Swaps

Lucio Fiorin

Papers from arXiv.org

Abstract: In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance Swaps

Date: 2022-08
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2208.03164

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