Is the minimum value of an option on variance generated by local volatility?

Mathias Beiglboeck, Peter Friz and Stephan Sturm

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Abstract: 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 counter-example to a wide-spread conjecture is given.

Date: 2010-01, Revised 2011-01
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Published in SIAM J. Finan. Math. 2, 213-220 (2011)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1001.4031

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