Inversion of convex ordering in the VIX market
Author:
Affiliation:
1. Quantitative Research, Bloomberg L.P., 731 Lexington Ave, New York, NY 10022, USA
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1753885
Reference44 articles.
1. Acciaio, B. and Guyon, J. , Inversion of convex ordering: Local volatility does not maximize the price of VIX futures. SIAM J. Finan. Math. 2020, 11(1), SC1–SC13.
2. Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
3. Pricing under rough volatility
4. On a problem of optimal transport under marginal martingale constraints
5. Hybrid scheme for Brownian semistationary processes
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