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Robust price bounds for the forward starting straddle

Abstract:
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
Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1007/s00780-014-0249-4

Authors

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author

Publisher:
Springer Berlin Heidelberg
Journal:
Finance and Stochastics More from this journal
Volume:
19
Issue:
1
Pages:
189-214
Publication date:
2015-01-01
DOI:
EISSN:
1432-1122
ISSN:
0949-2984

Language:
English
Keywords:
UUID:
uuid:83ff75a9-14f8-42fb-8bca-b07b9892a0d7
Local pid:
pubs:395198
Source identifiers:
395198
Deposit date:
2013-11-16
ARK identifier:

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