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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