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"Is the Minimum Value of an Option on Variance Generated by Local Volatility?"

Mathias Beiglböck, Peter Friz, Stephan Sturm (2011)

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DOI: 10.1137/100800166

access: closed

type: Journal Article

metadata version: 2017-06-08

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  - journals/siamfm/BeiglbockFS11
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  - https://dblp.org/rec/journals/siamfm/BeiglbockFS11
Mathias Beiglböck, Peter Friz, Stephan Sturm:
Is the Minimum Value of an Option on Variance Generated by Local Volatility? SIAM J. Financial Math. 2(1): 213-220 (2011)

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