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
| 主要な著者: | , |
|---|---|
| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
Springer Berlin Heidelberg
2015
|