Robust price bounds for the forward starting straddle

2013/04/08 by David Hobson, Hobson, David, Martin Klimmek +1 · 2 citations
Economics, Econometrics and Finance · #91G20 #Diverse Scientific and Economic Studies #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1304.2141

openalex publication_date 2013/04/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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_T1 - F_T0| where 0

Citations

• Martingale Optimal Transport and Robust Hedging in Continuous Time
• A model-free version of the fundamental theorem of asset pricing and the\n super-replication theorem

Cited by

• Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities
• Remarks on multi-period martingale optimal transport

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