ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (Q2927953): Difference between revisions
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Revision as of 18:52, 19 March 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)
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5 November 2014
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weighted variance swap
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weak arbitrage
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arbitrage conditions
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model-independent bounds
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pathwise Itō calculus
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semi-infinite linear programming
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fundamental theorem of asset pricing
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model error
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