Model-independent lower bound on variance swaps (Q2831008)
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scientific article; zbMATH DE number 6646430
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| English | Model-independent lower bound on variance swaps |
scientific article; zbMATH DE number 6646430 |
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1 November 2016
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model risk
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hedging
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subreplication
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realized variance
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variance swap
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Model-independent lower bound on variance swaps (English)
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The paper assumes as given the option prices for all strike prices. The price of a SWAP contract written on the realized variance of a stock has been computed by replication under the assumption that the stock price is continuous. This paper makes no assumption on continuity and derives some explicit formulas for lower bounds of variance SWAPS.
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0.8510905504226685
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0.8113053441047668
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0.7964258193969727
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0.7852526307106018
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0.7841429710388184
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