Model-independent hedging strategies for variance swaps

A Guide to Volatility and Variance Swaps

Krešimir Demeterfi, Emanuel Derman, Michael Kamal et al. · The Journal of Derivatives · 1999 · 474 citations

Business, Finance, Risk Management +17

Studies in the Theory of Random Processes

Robert E. Odeh, A. V. Skorokhod · Technometrics · 1966 · 346 citations

Natural Sciences, Mathematics, Probability Theory +11

Robust hedging of the lookback option

David Hobson · Finance and Stochastics · 1998 · 284 citations

Business, Economics, Finance +14

The Log Contract

Anthony Neuberger · The Journal of Portfolio Management · 1994 · 272 citations

Management, Health Care Management, Health Law +8

THE RANGE OF TRADED OPTION PRICES

Mark H. Davis, David Hobson · Mathematical Finance · 2006 · 219 citations

Business, Economics, Finance +13