Arbitrage Bounds for Prices of Weighted Variance Swaps
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strate...
| Những tác giả chính: | , , |
|---|---|
| Định dạng: | Journal article |
| Được phát hành: |
2010
|