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No-Arbitrage Bounds for the Forward Smile Given Marginals (2016)

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/10.2139/ssrn.2755274

Publication URI: http://dx.doi.org/10.2139/ssrn.2755274

Type: Journal Article/Review

Parent Publication: SSRN Electronic Journal