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

מידע ביבליוגרפי
Main Authors: Hobson, D, Klimmek, M
פורמט: Journal article
שפה:English
יצא לאור: Springer Berlin Heidelberg 2015