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Reference | Title | Link |
Soklakov, A. (2008) | Information derivatives | |
Abstract
"Andrei Soklakov considers the problem of creating derivatives to provide tailored exposure to volatility risk. Information theory leads us to a whole class of such products. This class of ‘information derivatives’ includes the standard volatility products (for example, variance and gamma swaps) as special cases, which suggests the use of liquidity models as a basis for further refinement of standard volatility derivatives." |
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