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Arbitrage Bounds for Weighted Variance Swap Prices
Arbitrage Bounds Weighted Variance Swap Prices
2010/4/27
Consider a frictionless market trading a finite number of co-maturing European call and put options written on a risky asset plus an instrument with path-dependent payoff known as a weighted variance ...
Consider a frictionless market trading a finite number of co-maturing European call and put options written on a risky asset plus an instrument with path-dependent payoff known as a weighted variance...