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No-arbitrage bounds for the forward smile given marginals (2017)

First Author: Badikov S

Attributed to: Asymptotics and dynamics of forward implied volatility funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/14697688.2016.1267392

Publication URI: http://dx.doi.org/10.1080/14697688.2016.1267392

Type: Journal Article/Review

Parent Publication: Quantitative Finance

Issue: 8