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.

MoreLess

Year of publication:	2010-01
Authors:	Beiglboeck, Mathias ; Friz, Peter ; Sturm, Stephan
Institutions:	arXiv.org

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008542998