39 citations · 45 across the 12 of their papers we have counts for
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q-fin.PR2013
Robust price bounds for the forward starting straddle
David Hobson, Martin Klimmek
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 where $0<T_…
q-fin.PR2011
Model independent hedging strategies for variance swaps
David Hobson, Martin Klimmek
A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuou…