SSRN Author: Sergey BadikovSergey Badikov SSRN Content
http://www.ssrn.com/author=2530856
http://www.ssrn.com/rss/en-usTue, 29 Nov 2016 02:03:05 GMTeditor@ssrn.com (Editor)Tue, 29 Nov 2016 02:03:05 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: No-Arbitrage Bounds for the Forward Smile Given MarginalsWe explore the robust replication of forward-start straddles given quoted (Call and Put options) market data. One approach to this problem classically follows semi-infinite linear programming arguments, and we propose a discretisation scheme to reduce its dimensionality and hence its complexity. Alternatively, one can consider the dual problem, consisting in finding optimal martingale measures under which the upper and the lower bounds are attained. Semi-analytical solutions to this dual problem were proposed by Hobson and Klimmek (2013) and by Hobson and Neuberger (2008). We recast this dual approach as a finite dimensional linear programme, and reconcile numerically, in the Black-Scholes and in the Heston model, the two approaches.
http://www.ssrn.com/abstract=2755274
http://www.ssrn.com/1533933.htmlFri, 07 Oct 2016 15:30:08 GMTREVISION: No-Arbitrage Bounds for the Forward Smile Given MarginalsWe explore the robust replication of forward-start straddles given quoted (Call and Put options) market data. One approach to this problem classically follows semi-infinite linear programming arguments, and we propose a discretisation scheme to reduce its dimensionality and hence its complexity. Alternatively, one can consider the dual problem, consisting in finding optimal martingale measures under which the upper and the lower bounds are attained. Semi-analytical solutions to this dual problem were proposed by Hobson and Klimmek (2013) and by Hobson and Neuberger (2008). We recast this dual approach as a finite dimensional linear programme, and reconcile numerically, in the Black-Scholes and in the Heston model, the two approaches.
http://www.ssrn.com/abstract=2755274
http://www.ssrn.com/1482683.htmlMon, 28 Mar 2016 08:15:59 GMT