A model-free no-arbitrage price bound for variance options
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References listed on IDEAS
- Peter Carr & Roger Lee, 2010. "Hedging variance options on continuous semimartingales," Finance and Stochastics, Springer, vol. 14(2), pages 179-207, April.
- David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Henry-Labordère, Pierre & Tan, Xiaolu & Touzi, Nizar, 2016. "An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2800-2834.
- Erhan Bayraktar & Christopher W. Miller, 2016. "Distribution-Constrained Optimal Stopping," Papers 1604.03042, arXiv.org, revised Jul 2017.
- Sebastian Herrmann & Florian Stebegg, 2017. "Robust Pricing and Hedging around the Globe," Papers 1707.08545, arXiv.org.
- Christopher W. Miller, 2016. "A Duality Result for Robust Optimization with Expectation Constraints," Papers 1610.01227, arXiv.org.
- Gaoyue Guo & Jan Obloj, 2017. "Computational Methods for Martingale Optimal Transport problems," Papers 1710.07911, arXiv.org.
- Gaoyue Guo & Xiaolu Tan & Nizar Touzi, 2015. "Optimal Skorokhod embedding under finitely-many marginal constraints," Papers 1506.04063, arXiv.org, revised Aug 2016.
More about this item
Keywordsgradient projection algorithm; Variance option; model-free price bound; gradient projection algorithm.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-15 (All new papers)
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