Robust price bounds for the forward starting straddle
In this article we consider the problem of giving a robust, model-independent, lower bound on the price of a forward starting straddle with payoff $|F_{T_1} - F_{T_0}|$ where $0
| Main Authors: | , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
Springer Berlin Heidelberg
2015
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| Resumo: | In this article we consider the problem of giving a robust, model-independent, lower bound on the price of a forward starting straddle with payoff $|F_{T_1} - F_{T_0}|$ where $0 |
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