MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS (Q2831008): Difference between revisions

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+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+Robust Hedging of Barrier Options
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+Variance swaps on time-changed Lévy processes
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+Static arbitrage bounds on basket option prices
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+THE RANGE OF TRADED OPTION PRICES
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+ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
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+Robust hedging of the lookback option
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+Model-independent hedging strategies for variance swaps
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+Static-arbitrage optimal subreplicating strategies for basket options
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+Static-arbitrage upper bounds for the prices of basket options
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+ROBUST BOUNDS FOR FORWARD START OPTIONS
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+SPARSE CALIBRATIONS OF CONTINGENT CLAIMS
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+Sharp Upper and Lower Bounds for Basket Options
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+Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
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+Option pricing when underlying stock returns are discontinuous
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+CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
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