英文标题：
《No-arbitrage bounds for the forward smile given marginals》
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作者：
Sergey Badikov, Antoine Jacquier, Daphne Qing Liu, Patrick Roome
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最新提交年份：
2016
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英文摘要：
We explore the robust replication of forward-start straddles given quoted (Call and Put options) market data. One approach to this problem classically follows semi-infinite linear programming arguments, and we propose a discretisation scheme to reduce its dimensionality and hence its complexity. Alternatively, one can consider the dual problem, consisting in finding optimal martingale measures under which the upper and the lower bounds are attained. Semi-analytical solutions to this dual problem were proposed by Hobson and Klimmek (2013) and by Hobson and Neuberger (2008). We recast this dual approach as a finite dimensional linear programme, and reconcile numerically, in the Black-Scholes and in the Heston model, the two approaches.
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中文摘要：
我们探讨了在给定报价（看涨期权和看跌期权）市场数据的情况下，远期启动交易的稳健复制。解决这个问题的一种方法经典地遵循半无限线性规划参数，我们提出了一种离散化方案来降低其维数，从而降低其复杂性。或者，我们可以考虑对偶问题，其中包括寻找最优鞅测度，在该鞅测度下，上界和下界都可以得到。Hobson和Klimek（2013年）以及Hobson和Neuberger（2008年）提出了这一双重问题的半解析解。我们将这种对偶方法改写为一个有限维线性规划，并在Black-Scholes和Heston模型中对这两种方法进行了数值协调。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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