A model-free no-arbitrage price bound for variance options (Q373003): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 93E25 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 90C15 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| 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 | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
gradient projection algorithm | |||
| Property / zbMATH Keywords: gradient projection algorithm / rank | |||
Normal rank | |||
Revision as of 09:55, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A model-free no-arbitrage price bound for variance options |
scientific article |
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
