Is the minimum value of an option on variance generated by local volatility?

Details Is the minimum value of an option on variance generated by local volatility? Is the minimum value of an option on variance generated by local volatility?

2010-01-22

arxiv.org/abs/1001.4031v3

Economy

Quantitative Finance

Computational Finance

Scientific paper

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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