Robust option pricing with volatility term structure -- An empirical study for variance options

The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the 2008 financial crisis, and can be used to understand the extent to which a model-based price is sensitive to the underlying model assumptions. Common approaches involve pricing exotic derivatives such as variance options by incorporating market data through imp...