Skip to content

FinancialDiets/Options_Mastery-Volatility_Arbitrage

Repository files navigation

Volatility arbitrage in Heston model

Lee, R. (2010). Weighted variance swap. Encyclopedia of quantitative finance.

Neuberger, A. (1994). The log contract. Journal of portfolio management, 20(2), 74.

Fukasawa, M. (2014). Volatility derivatives and model-free implied leverage. International Journal of Theoretical and Applied Finance, 17(01), 1450002.

About

No description, website, or topics provided.

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published