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 |
|---|---|---|---|
| English | No-arbitrage bounds for the forward smile given marginals |
scientific article; zbMATH DE number 6981254 |
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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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