No-arbitrage bounds for the forward smile given marginals (Q4555138)
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scientific article; zbMATH DE number 6981254
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | No-arbitrage bounds for the forward smile given marginals |
scientific article; zbMATH DE number 6981254 |
Statements
No-arbitrage bounds for the forward smile given marginals (English)
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19 November 2018
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martingale optimal transport
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robust bounds
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forward-start
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Heston
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0.8519805
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0.85125494
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0.85055935
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0.85043377
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0.8463272
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0.8416228
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0.83713526
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0.83395004
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