An optimal approximation for the payoffs of variance swaps in static replication

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dc.contributorXiao, Yang
dc.contributorTrace, Bruce S.
dc.contributorTrent, Tavan T.
dc.contributor.advisorWang, James L.
dc.contributor.advisorWu, Zhijian
dc.contributor.authorChen, Qiang
dc.contributor.otherUniversity of Alabama Tuscaloosa
dc.date.accessioned2017-03-01T17:08:34Z
dc.date.available2017-03-01T17:08:34Z
dc.date.issued2014
dc.descriptionElectronic Thesis or Dissertationen_US
dc.description.abstractIn this dissertation, we create a portfolio of simple vanilla put and call options as an optimal approximation of nonlinear payoffs by using static replication (1995, 1998) [1, 2] under certain measure which is called E(a,b,N,f). More specifically, we focus on the static replication of variance swaps payoffs because of their popularity in current financial market [3]. The analysis is motivated by the following reasons. Due to the limited availability of strike prices with traded vanilla options, static replication is only an approximation [1]. Bradie and Jain (2008) [4] used Black-Scholes and Heston stochastic volatility model to find the optimal approximation. Liu (2010) [5] created three approximation methods. In order to improve the approximation, we use a new measure for the static replication to construct the replicating portfolio with lower cost compared with the current methods.en_US
dc.format.extent70 p.
dc.format.mediumelectronic
dc.format.mimetypeapplication/pdf
dc.identifier.otheru0015_0000001_0001558
dc.identifier.otherChen_alatus_0004D_11887
dc.identifier.urihttps://ir.ua.edu/handle/123456789/2014
dc.languageEnglish
dc.language.isoen_US
dc.publisherUniversity of Alabama Libraries
dc.relation.hasversionborn digital
dc.relation.ispartofThe University of Alabama Electronic Theses and Dissertations
dc.relation.ispartofThe University of Alabama Libraries Digital Collections
dc.rightsAll rights reserved by the author unless otherwise indicated.en_US
dc.subjectMathematics
dc.subjectFinance
dc.titleAn optimal approximation for the payoffs of variance swaps in static replicationen_US
dc.typethesis
dc.typetext
etdms.degree.departmentUniversity of Alabama. Department of Mathematics
etdms.degree.disciplineMathematics
etdms.degree.grantorThe University of Alabama
etdms.degree.leveldoctoral
etdms.degree.namePh.D.

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