A model-free no-arbitrage price bound for variance options (Q373003)
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scientific article; zbMATH DE number 6217453
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A model-free no-arbitrage price bound for variance options |
scientific article; zbMATH DE number 6217453 |
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A model-free no-arbitrage price bound for variance options (English)
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21 October 2013
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variance option
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model-free price bound
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gradient projection algorithm
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0.7874854207038879
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0.7818089723587036
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0.7583709359169006
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0.7540605068206787
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0.7535357475280762
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