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Updated: Mar 5, 2026

New Variations for Strategy Set-shifting in the Rat
Published on: January 23, 2017
A note on contracts on quadratic variation
1The Second Swedish National Pension Fund, Gothenburg, Sweden.
Abstract:
Given a Black stochastic volatility model for a future F, and a function g, we show that the price of [Formula: see text] can be represented by portfolios of put and call options. This generalizes the classical representation result for the variance swap. Further, in a local volatility model, we give an example based on Dupire's formula which shows how the theorem can be used to design variance related contracts with desirable characteristics.
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