Robust price bounds for the forward starting straddle
David Hobson, Martin Klimmek
| Year of publication: |
January 2015
|
|---|---|
| Authors: | Hobson, David G. ; Klimmek, Martin |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 19.2015, 1, p. 189-214
|
| Subject: | Martingale coupling | Martingale optimal transport | Model-independent bounds | Static hedging | forward starting straddle | Hedging | Martingal | Martingale | Optionsgeschäft | Option trading | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-014-0249-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011417160