Robust price bounds for the forward starting straddle

David Hobson and Martin Klimmek

Papers from arXiv.org

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

Date: 2013-04
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1304.2141

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