ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (Q2927953): Difference between revisions
From MaRDI portal
Latest revision as of 05:49, 9 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS |
scientific article |
Statements
ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (English)
0 references
5 November 2014
0 references
weighted variance swap
0 references
weak arbitrage
0 references
arbitrage conditions
0 references
model-independent bounds
0 references
pathwise Itō calculus
0 references
semi-infinite linear programming
0 references
fundamental theorem of asset pricing
0 references
model error
0 references
0 references
0 references