MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS
From MaRDI portal
Publication:2831008
DOI10.1111/mafi.12083zbMath1360.91142OpenAlexW2323026722MaRDI QIDQ2831008
Publication date: 1 November 2016
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12083
Related Items (4)
Bounds for VIX futures given S{\&}P 500 smiles ⋮ An explicit martingale version of the one-dimensional Brenier theorem ⋮ Robust price bounds for the forward starting straddle ⋮ Pricing Variance Swaps on Time-Changed Markov Processes
Cites Work
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Model-independent hedging strategies for variance swaps
- Static-arbitrage optimal subreplicating strategies for basket options
- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
- Robust hedging of the lookback option
- Variance swaps on time-changed Lévy processes
- Static arbitrage bounds on basket option prices
- Robust Hedging of Barrier Options
- ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
- CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
- Static-arbitrage upper bounds for the prices of basket options
- THE RANGE OF TRADED OPTION PRICES
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- ROBUST BOUNDS FOR FORWARD START OPTIONS
- SPARSE CALIBRATIONS OF CONTINGENT CLAIMS
- Option pricing when underlying stock returns are discontinuous
- Sharp Upper and Lower Bounds for Basket Options
This page was built for publication: MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS
