Robust price bounds for the forward starting straddle

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

Manylion Llyfryddiaeth
Prif Awduron:	Hobson, D, Klimmek, M
Fformat:	Journal article
Iaith:	English
Cyhoeddwyd:	Springer Berlin Heidelberg 2015

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