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Journal article

Arbitrage Bounds for Prices of Weighted Variance Swaps

Abstract:: We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strategies which enforce them. We find that market quotes for variance swaps are surprisingly close to the model-free lower bounds we determine. We solve the problem by transforming it into an analogous ...
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Publication status:: Published

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APA Style

Davis, M., Obloj, J., & Raval, V. (2010). Arbitrage Bounds for Prices of Weighted Variance Swaps. MATHEMATICAL FINANCE, 24(4), 821–854.

MLA Style

Davis, M., et al. “Arbitrage Bounds for Prices of Weighted Variance Swaps.” MATHEMATICAL FINANCE, vol. 24, no. 4, 2010, pp. 821–54.

Chicago Style

Davis, M, J Obloj, and V Raval. 2010. “Arbitrage Bounds for Prices of Weighted Variance Swaps.” MATHEMATICAL FINANCE 24 (4): 821–54.
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Publisher copy:: 10.1111/mafi.12021

Authors

+ Davis, M More by this author

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+ Obloj, J More by this author

Institution:

University of Oxford

Division:

MPLS

Department:

Mathematical Institute

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+ Raval, V More by this author

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Author

Bibliographic Details

Journal:: MATHEMATICAL FINANCE
Volume:: 24
Issue:: 4
Pages:: 821-854
Publication date:: 2010-01-15
DOI:: 10.1111/mafi.12021
ISSN:: 0960-1627

Item Description

Keywords:: q-fin.PR
Pubs id:: pubs:189133
UUID:: uuid:1b164b05-ae30-47e4-b821-105cfefc8d0c
Local pid:: pubs:189133
Source identifiers:: 189133
Deposit date:: 2012-12-19

Terms of use

Copyright date:: 2010
Notes:: 25 pages, 4 figures

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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