We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multivariate genera...
We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process ...
— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...