摘要翻译：
方差互换是一种具有路径依赖回报的衍生品，它允许投资者对资产的未来可变性进行头寸。在写在具有连续路径的资产上的连续监控方差互换的理想化设置中，众所周知，方差互换收益可以使用看跌和看涨组合以及资产中的动态头寸精确地复制。这一事实构成了波动率指数合约的基础。但如果我们在一个更现实的环境中，合约是基于离散监控的，基础资产可能会出现跳跃，怎么办？我们证明了方差互换价格的模型无关的无套利界以及相应的次复制策略和超复制策略是可能的。进一步，我们刻画了最优界。套期保值的形式主要取决于用于定义方差交换的核。
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英文标题：
《Model independent hedging strategies for variance swaps》
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作者：
David Hobson, Martin Klimmek
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can be replicated exactly using a portfolio of puts and calls and a dynamic position in the asset. This fact forms the basis of the VIX contract.   But what if we are in the more realistic setting where the contract is based on discrete monitoring, and the underlying asset may have jumps? We show that it is possible to derive model-independent, no-arbitrage bounds on the price of the variance swap, and corresponding sub- and super-replicating strategies. Further, we characterise the optimal bounds. The form of the hedges depends crucially on the kernel used to define the variance swap.
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PDF链接：
https://arxiv.org/pdf/1104.4010