Discounted-likelihood valuation of variance and volatility swaps
Abstract The valuation of financial derivatives often assumes risk neutrality with respect to the risk-neutral martingale measure, which prevents arbitrage opportunities. However, casual traders may still incur substantial losses when trading at this risk-neutral price, especially when the price has...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2025-01-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-024-00701-8 |
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