Robust price bounds for the forward starting straddle

DOI10.1007/s00780-014-0249-4zbMath1396.91735arXiv1304.2141OpenAlexW2165299046MaRDI QIDQ486935

Martin Klimmek, David G. Hobson

Publication date: 19 January 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.2141

zbMATH Keywords

martingale optimal transportmartingale couplingstatic hedgingforward starting straddlemodel-independent bounds

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20)

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