Applying Variance Gamma Correlated to Estimate Optimal Portfolio of Variance Swap
نویسندگان
چکیده
In this paper, we focus on introducing the Variance Swap and estimating the portfolios. The portfolios of the Variance Swap are optimized based on maximizing the distorted expectation given the index of acceptability. The variance strike is calculated from the option surface calibration. The realized variance is constructed through Hardy-Littlewood transform considering the highly correlated autocorrelation and dependencies of cross assets. A non-Gaussian model: Varanance Gamma Correlated (VGC) is also applied to the residual data of the regression model.
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