ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
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Publication:2927953
DOI10.1111/mafi.12021zbMath1314.91209arXiv1001.2678OpenAlexW2115438349MaRDI QIDQ2927953
Jan Obłój, Mark H. A. Davis, Vimal Raval
Publication date: 5 November 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.2678
semi-infinite linear programmingfundamental theorem of asset pricingmodel errorpathwise Itō calculusweak arbitragemodel-independent boundsarbitrage conditionsweighted variance swap
Applications of mathematical programming (90C90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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