Time Variance SwapAn Approach to Approximate VIX Error and Hedge Path Dependent Risk

来源 :中国系统工程学会服务系统工程分会2016服务系统工程会议暨2016 风险分析学术研讨会 | 被引量 : 0次 | 上传用户：wnan100

【摘要】

：

　　We research the approximation error in synthesizing the variance swap rates(ⅥⅩ Index)due to lack of enough range of strike prices,which we term Lack-of-st

【作者】

：

Tianxiang Liu Desheng Wu

【机构】

：

SchoolofEconomicsandManagement,UniversityofChineseAcademyofSciences,China

【出处】

：

中国系统工程学会服务系统工程分会2016服务系统工程会议暨2016 风险分析学术研讨会

【发表日期】

：

2016年7期

【关键词】

：

VIX Approximation Error Levy's Arcsine Law Time Risk Measure Time Variance

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　　We research the approximation error in synthesizing the variance swap rates(ⅥⅩ Index)due to lack of enough range of strike prices,which we term Lack-of-strike-price Approximation Error Measure(LAEM).

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Time Variance SwapAn Approach to Approximate VIX Error and Hedge Path Dependent Risk

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