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Carlos Miguel Legón-Pérez, Jorge Ariel Menéndez-Verdecía, Ismel Martínez-Díaz, Guillermo Sosa-Gómez, Omar Rojas and Germania del Roció Veloz-Remache
During the search for S-boxes resistant to Power Attacks, the S-box space has recently been divided into Hamming Weight classes, according to its theoretical resistance to these attacks using the metric variance of the confusion coefficient. This partiti...
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Richard John Brostowicz Junior,Márcio Poletti Laurini
Pág. 197 - 228
A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options considering that the realized variance follows a purely diffusive process with continuous monitoring. In this article we willanalyze the possible differenc...
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Alan De Genaro Dario
Pág. pp. 203 - 228
Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated b...
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Jorge C. Kapotas,Pedro Paulo Schirmer,Sandro Magalhães Manteiga
Pág. pp. 1 - 21
In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime o...
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