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
| Hoofdauteurs: | , |
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| Formaat: | Journal article |
| Taal: | English |
| Gepubliceerd in: |
Springer Berlin Heidelberg
2015
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| _version_ | 1826282448083746816 |
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| author | Hobson, D Klimmek, M |
| author_facet | Hobson, D Klimmek, M |
| author_sort | Hobson, D |
| collection | OXFORD |
| description | 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 |
| first_indexed | 2024-03-07T00:44:00Z |
| format | Journal article |
| id | oxford-uuid:83ff75a9-14f8-42fb-8bca-b07b9892a0d7 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T00:44:00Z |
| publishDate | 2015 |
| publisher | Springer Berlin Heidelberg |
| record_format | dspace |
| spelling | oxford-uuid:83ff75a9-14f8-42fb-8bca-b07b9892a0d72022-03-26T21:48:10ZRobust price bounds for the forward starting straddleJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:83ff75a9-14f8-42fb-8bca-b07b9892a0d7EnglishSymplectic Elements at OxfordSpringer Berlin Heidelberg2015Hobson, DKlimmek, MIn 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 |
| spellingShingle | Hobson, D Klimmek, M Robust price bounds for the forward starting straddle |
| title | Robust price bounds for the forward starting straddle |
| title_full | Robust price bounds for the forward starting straddle |
| title_fullStr | Robust price bounds for the forward starting straddle |
| title_full_unstemmed | Robust price bounds for the forward starting straddle |
| title_short | Robust price bounds for the forward starting straddle |
| title_sort | robust price bounds for the forward starting straddle |
| work_keys_str_mv | AT hobsond robustpriceboundsfortheforwardstartingstraddle AT klimmekm robustpriceboundsfortheforwardstartingstraddle |