No-arbitrage bounds for the forward smile given marginals
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Publication:4555138
DOI10.1080/14697688.2016.1267392zbMath1402.91752arXiv1603.06389OpenAlexW3121987632MaRDI QIDQ4555138
Antoine Jacquier, Daphne Qing Liu, Sergey Badikov, Patrick Roome
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.06389
Optimality conditions and duality in mathematical programming (90C46) Linear programming (90C05) Semi-infinite programming (90C34) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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