Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/140960724
Reference18 articles.
1. Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
2. Model-independent bounds for option prices—a mass transport approach
3. Stochastic Target Problems with Controlled Loss
4. Some Inequalities for Stop-Loss Premiums
5. Optimal Transportation with Traffic Congestion and Wardrop Equilibria
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