A model-free no-arbitrage price bound for variance options
type: Item
instance of: scholarly article
title: A model-free no-arbitrage price bound for variance options
zbMATH Open document ID: 1272.93135
author: Xiaolu Tan
author: J. Frédéric Bonnans
published in: Applied Mathematics and Optimization
publication date: 2013-10-21T00:00:00Z
full work available at URL: RR-7777.pdf
Mathematics Subject Classification ID: 93E25
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 6217453
zbMATH Keywords: variance option
zbMATH Keywords: model-free price bound
zbMATH Keywords: gradient projection algorithm
MaRDI profile type: Publication
OpenAlex ID: W2043068947
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DOI: 10.1007/S00245-013-9197-1
description: scientific article; zbMATH DE number 6217453