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

Opis bibliograficzny
Główni autorzy:	Hobson, D, Klimmek, M
Format:	Journal article
Język:	English
Wydane:	Springer Berlin Heidelberg 2015

Podobne zapisy

The Effect of using Incline Mat on the speed of Learning Forward Straddle Roll on Floor Exercises
od: Adel Jabbar Saeed, i wsp.
Wydane: (2021-06-01)

Laplace transforms and the American straddle
od: G. Alobaidi, i wsp.
Wydane: (2002-01-01)

Preventative maintenance of straddle carriers
od: Si Li, i wsp.
Wydane: (2015-04-01)

The American straddle close to expiry
od: Roland Mallier, i wsp.
Wydane: (2006-06-01)

Hedging strategy in emerging market: Application long straddle option in gold price index
od: Riko Hendrawan, i wsp.
Wydane: (2020-10-01)

A novel SVM option pricing model & an intelligent ATM option straddle trading system
od: He, Jianxin.
Wydane: (2011)

Analytic Approximation for American Straddle Options
od: Joanna Goard, i wsp.
Wydane: (2022-04-01)

Color and Form Perception: Straddling the Boundary
od: Galina V. Paramei, i wsp.
Wydane: (2016-02-01)

A stochastic hybrid model for pricing forward-start variance swaps
od: Roslan, Teh Raihana Nazirah
Wydane: (2017)

A Stochastic Hybrid Model for Pricing Forward-Start Variance Swaps
od: Roslan, Teh Raihana Nazirah
Wydane: (2017)

Model independent hedging strategies for variance swaps
od: Hobson, D, i wsp.
Wydane: (2011)

Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
od: Hobson, D, i wsp.
Wydane: (2010)

Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values
od: Hobson, D, i wsp.
Wydane: (2010)

Wangari Maathai the educator: Straddling tradition and modernity
od: Namulundah Florence
Wydane: (2017-12-01)

Thrombus straddling a patent foramen ovale
od: Costantina Prota, i wsp.
Wydane: (2015-11-01)

On the pricing of forward-start variance swaps with stochastic volatility and stochastic interest rate
od: Roslan, Teh Raihana Nazirah
Wydane: (2017)

Forward Starting Option Pricing under Double Fractional Stochastic Volatilities and Jumps
od: Sumei Zhang, i wsp.
Wydane: (2024-05-01)

Reach and straddle fork lift trucks : stability tests
od: 8096 British Standards Institution

Manufacturing Process of Straddle Monorail Beam-switching Turnout
od: Hang ZHOU, i wsp.
Wydane: (2024-02-01)

Surgical Treatment for Thrombus Straddling a Patent Foramen Ovale
od: Marcos Aurélio Barboza de Oliveira, i wsp.

A rare responsibility; Straddling the roles of both the student and the sick
od: Zainab Ahmed Alani
Wydane: (2024-01-01)

Supervised Machine Learning Classification for Short Straddles on the S&P500
od: Alexander Brunhuemer, i wsp.
Wydane: (2022-12-01)

The research on operational reliability evaluation of straddle-type monorail vehicle
od: Zixue Du, i wsp.
Wydane: (2018-01-01)

Stabilization of Rock Roadway under Obliquely Straddle Working Face
od: Peng Wang, i wsp.
Wydane: (2021-09-01)

Straddle injuries to the bulbar urethra: management and outcome in 53 patients
od: Mohammed Abd-Alla Elgammal
Wydane: (2009-08-01)

Straddle injuries to the bulbar urethra: management and outcome in 53 patients
od: Steven B. Brandes
Wydane: (2010-02-01)

Pricing forward-start style exotic options under uncertain stock models with periodic dividends
od: Javed Hussain, i wsp.
Wydane: (2024-08-01)

A case of extensive biatrial clot straddling the patent foramen ovale
od: Cinzia Nugara, i wsp.
Wydane: (2021-03-01)

QUANTIFYING THE DIFFICULTY OF SPECIFIC MOVEMENTS IN THE STRADDLE VAULT FOR ELEMENTARY SCHOOL CHILDREN
od: Takashi Sano, i wsp.
Wydane: (2025-02-01)

Evaluation of the Reverse Mortgage Option in Korea: A Long Straddle Perspective
od: Kyung Jin Choi, i wsp.
Wydane: (2020-09-01)

Straddling the Fence: Land Use Patterns in and around Ports as Hidden Designers
od: Lucija Ažman Momirski, i wsp.
Wydane: (2021-07-01)

Military traumatic brain injury: a challenge straddling neurology and psychiatry
od: Ling-Zhuo Kong, i wsp.
Wydane: (2022-01-01)

Simulation Analysis of Passenger Evacuation and Rescue in Straddle Monorail Transit Intervals
od: CHEN Baikun
Wydane: (2024-08-01)

Turnout Design of Same-side Curved Track for Straddle Tourism Monorail
od: WU Shuqiang
Wydane: (2024-07-01)

Technique for determining the capacity of a container terminal serviced by a straddle carrier
od: Abduvahitov R.S., i wsp.
Wydane: (2018-12-01)

Combined effusive-explosive silicic volcanism straddles the multiphase viscous-to-brittle transition
od: Fabian B. Wadsworth, i wsp.
Wydane: (2018-11-01)

Investigating the Atmospheric Mass Loss of the Kepler-105 Planets Straddling the Radius Gap
od: Aaron Householder, i wsp.
Wydane: (2024-01-01)

Urethro-venous fistula following straddle injury: A case report and image series
od: T. Barker, i wsp.
Wydane: (2022-11-01)

Active Control of Shimmy in Articulated Single-Axle Straddle-Type Monorail Train
od: Jiachen Song, i wsp.
Wydane: (2024-11-01)

Modeling the Traffic Flow of the Urban Signalized Intersection with a Straddling Work Zone
od: Liling Zhu, i wsp.
Wydane: (2020-01-01)