Is the Minimum Value of an Option on Variance Generated by Local Volatility?
SIAM J. Financial Math
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 counterexample to a widespread conjecture is given.
, Beiglöck, Mathias
, Friz, Peter K.
(2011). Is the Minimum Value of an Option on Variance Generated by Local Volatility?. SIAM J. Financial Math, 2, 213-220.
Retrieved from: http://digitalcommons.wpi.edu/mathematicalsciences-pubs/72
First Page Number
Last Page Number
This document is currently not available here.