Arbitrage bounds for prices of weighted variance swaps (Q2927953)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Arbitrage bounds for prices of weighted variance swaps |
scientific article; zbMATH DE number 6365994
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Arbitrage bounds for prices of weighted variance swaps |
scientific article; zbMATH DE number 6365994 |
Statements
5 November 2014
0 references
weighted variance swap
0 references
weak arbitrage
0 references
arbitrage conditions
0 references
model-independent bounds
0 references
pathwise Itō calculus
0 references
semi-infinite linear programming
0 references
fundamental theorem of asset pricing
0 references
model error
0 references
0 references
0 references
Arbitrage bounds for prices of weighted variance swaps (English)
0 references
