Is the minimum value of an option on variance generated by local volatility?
classification
💱 q-fin.CP
math.PRq-fin.PR
keywords
volatilitygivenlocalboundscalibratedconjecturecounter-exampledata
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We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counter-example to a wide-spread conjecture is given.
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