Is the Minimum Value of an Option on Variance Generated by Local Volatility?

DOI10.1137/100800166zbMath1214.91145arXiv1001.4031OpenAlexW2018890045MaRDI QIDQ2996523

Stephan Sturm, Peter K. Friz, Mathias Beiglböck

Publication date: 2 May 2011

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.4031

zbMATH Keywords

local volatilityDupire's formula

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (1)

Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

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