Arbitrage bounds for prices of weighted variance swaps
Mark Davis; Jan Obłój; Vimal Raval
| Year of publication: |
2014
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|---|---|
| Authors: | Davis, Mark H. A. ; Obłój, Jan ; Raval, Vimal |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 4, p. 821-854
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| Subject: | weighted variance swap | weak arbitrage | arbitrage conditions | model-independent bounds | pathwise Itô calculus | semi-infinite linear programming | fundamental theorem of asset pricing | model error | Arbitrage | Theorie | Theory | Swap | Arbitrage Pricing | Arbitrage pricing | CAPM | Portfolio-Management | Portfolio selection | Martingal | Martingale | Mathematische Optimierung | Mathematical programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011308161