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No-arbitrage bounds for the forward smile given marginals - MaRDI portal

No-arbitrage bounds for the forward smile given marginals (Q4555138)

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scientific article; zbMATH DE number 6981254
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English
No-arbitrage bounds for the forward smile given marginals
scientific article; zbMATH DE number 6981254

    Statements

    title
    No-arbitrage bounds for the forward smile given marginals (English)
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    author
    Sergey Badikov
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    Antoine Jacquier
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    Daphne Qing Liu
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    Patrick Roome
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    publication date
    19 November 2018
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    zbMATH Keywords
    martingale optimal transport
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    robust bounds
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    forward-start
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    Heston
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G44
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    91G80
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    90C46
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    90C05
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    90C34
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    zbMATH DE Number
    6981254
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    OpenAlex ID
    W3121987632
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    arXiv ID
    1603.06389
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