Is the minimum value of an option on variance generated by local volatility?

DOI10.1137/100800166MaRDI QIDQ2996523zbMATH OpenOpenAlexFDO

Authors Mathias Beiglböck, Peter Friz, Stephan Sturm

Publication date 2 May 2011

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.4031

zbMATH Keywords

local volatilityDupire's formula

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Abstract: We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counter-example to a wide-spread conjecture is given.

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Cited in

(2)

• A model-free no-arbitrage price bound for variance options
• Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

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