A model-free no-arbitrage price bound for variance options (Q373003): Difference between revisions

@@ description / en / description / en @@
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+scientific article; zbMATH DE number 6217453
@@ Property / DOI @@
-.1007/s00245-013-9197-1
@@ Property / DOI: 10.1007/s00245-013-9197-1 / rank @@
-Normal rank
@@ Property / author @@
-J. Frédéric Bonnans
@@ Property / author: J. Frédéric Bonnans / rank @@
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@@ Property / author @@
+J. Frédéric Bonnans
@@ Property / author: J. Frédéric Bonnans / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E25
@@ Property / Mathematics Subject Classification ID: 93E25 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C15
@@ Property / Mathematics Subject Classification ID: 90C15 / rank @@
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@@ Property / zbMATH DE Number @@
+6217453
@@ Property / zbMATH DE Number: 6217453 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+variance option
@@ Property / zbMATH Keywords: variance option / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+model-free price bound
@@ Property / zbMATH Keywords: model-free price bound / rank @@
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@@ Property / zbMATH Keywords @@
+gradient projection algorithm
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+CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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+Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
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+Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
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+Exponential convergence for a convexifying equation
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+Hedging variance options on continuous semimartingales
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+Root's barrier: construction, optimality and applications to variance options
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+A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
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+Robust hedging of the lookback option
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+The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
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+The Existence of Probability Measures with Given Marginals
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+.1007/S00245-013-9197-1
@@ Property / DOI: 10.1007/S00245-013-9197-1 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:373003