Is the Minimum Value of an Option on Variance Generated by Local Volatility?
نویسندگان
چکیده
منابع مشابه
Is the Minimum Value of an Option on Variance Generated by Local Volatility?
We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counter-example to a wide-spread conjecture is given. keywords: local vol, Dupire’s formula; MSC: 91G99; JEL: G10.
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2011
ISSN: 1945-497X
DOI: 10.1137/100800166