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...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
2010
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