摘要翻译：
本文在一个$3/2$波动率模型下研究了方差互换的定价和套期保值问题。在基准方法下，只需要Num{e}raire组合存在，就可以得到方差互换的显式定价和套期保值公式。成长最优投资组合是Num{e}raire投资组合，并将其作为Num{e}raire与现实世界的概率测度一起作为定价测度。这种定价概念为方差互换提供了最小价格，即使等价的风险中性概率度量不存在。
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英文标题：
《Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a
  $3/2$ Volatility Model》
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作者：
Leunglung Chan and Eckhard Platen
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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：
  This paper investigates the pricing and hedging of variance swaps under a $3/2$ volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the benchmark approach, which only requires the existence of the num\'{e}raire portfolio. The growth optimal portfolio is the num\'{e}raire portfolio and used as num\'{e}raire together with the real world probability measure as pricing measure. This pricing concept provides minimal prices for variance swaps even when an equivalent risk neutral probability measure does not exist.
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PDF链接：
https://arxiv.org/pdf/1007.2968