A model-free no-arbitrage price bound for variance options (Q373003): Difference between revisions
From MaRDI portal
Normalize DOI. |
Changed label, description and/or aliases in en, and other parts |
||
| (3 intermediate revisions by 3 users not shown) | |||
| description / en | description / en | ||
scientific article | scientific article; zbMATH DE number 6217453 | ||
| Property / DOI | |||
| Property / DOI: 10.1007/S00245-013-9197-1 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1007/S00245-013-9197-1 / rank | |||
Normal rank | |||
Latest revision as of 12:37, 2 July 2025
scientific article; zbMATH DE number 6217453
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A model-free no-arbitrage price bound for variance options |
scientific article; zbMATH DE number 6217453 |
Statements
A model-free no-arbitrage price bound for variance options (English)
0 references
21 October 2013
0 references
variance option
0 references
model-free price bound
0 references
gradient projection algorithm
0 references
0 references
0 references
0 references
0 references
