ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (Q2927953): Difference between revisions

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Latest revision as of 05:49, 9 July 2024

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ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
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    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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