ROBUST TRADING OF IMPLIED SKEW

DOI10.1142/S021902491750008XzbMath1422.91717arXiv1611.05518OpenAlexW2557215291MaRDI QIDQ2976126

Jan Obłój, Sergey Nadtochiy

Publication date: 13 April 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.05518

zbMATH Keywords

robust methodsweak reflection principleimplied skewLVG model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (2)

Robust pricing-hedging dualities in continuous time ⋮ Robust deep hedging

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