Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/19M129303X
Reference8 articles.
1. A nonlinear partial integro-differential equation from mathematical finance
2. Is the Minimum Value of an Option on Variance Generated by Local Volatility?
3. Mimicking an Itô process by a solution of a stochastic differential equation
4. Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
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1. From Bachelier to Dupire via optimal transport;Finance and Stochastics;2021-12-23
2. Inversion of convex ordering in the VIX market;Quantitative Finance;2020-05-18
3. Joint Modelling and Calibration of SPX and VIX by Optimal Transport;SSRN Electronic Journal;2020
4. The Joint S&P 500/VIX Smile Calibration Puzzle Solved;SSRN Electronic Journal;2019
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