ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

By Mark H. A. Davis, Jan Obłój, Vimal Raval. 2010

67 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/81c0c7b525c13454e4ff43f069c7166ba54258df

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. H. M. Soner
2. Yan Dolinsky
3. Marcel Nutz

In Finance

1. Yan Dolinsky
2. H. M. Soner
3. Marcel Nutz
4. Nizar Touzi
5. Mathias Beiglbock
6. Jianfeng Zhang
7. Bruno Bouchard
8. Ariel Neufeld

In Management Science and Operations Research

1. Yan Dolinsky
2. H. M. Soner
3. Marcel Nutz
4. Jianfeng Zhang
5. Nizar Touzi
6. Yongsheng Song
7. Ariel Neufeld

Citations in the corpus

• Martingale optimal transport in the Skorokhod space (2014, background): “MSC: 91G10; 60G44 Keywords: Model-free Hedging; Martingale Optimal Transport; Skorokhod Space”
• Martingale optimal transport and robust hedging in continuous time (2012, methodology): “In particular, in [16] the class of admissible portfolios is enlarged and numerical evidence is obtained by analyzing the S&P500 index options data.”