ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
Author:
Affiliation:
1. Department of Mathematics, Imperial College London
2. Mathematical Institute, University of Oxford
Funder
Oxford-Man Institute of Quantitative Finance
EPSRC
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12021/fullpdf
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