Pages that link to "Item:Q3456842"
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The following pages link to Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (Q3456842):
Displaying 14 items.
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (Q737181) (← links)
- Canonical supermartingale couplings (Q1621445) (← links)
- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo (Q1626511) (← links)
- Fine properties of the optimal Skorokhod embedding problem (Q2119390) (← links)
- Bounds for VIX futures given S{\&}P 500 smiles (Q2364530) (← links)
- Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (Q4554477) (← links)
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
- Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
- Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures (Q5112529) (← links)
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
- Perturbation analysis of sub/super hedging problems (Q6054380) (← links)
- Supermartingale Brenier's theorem with full-marginals constraint (Q6134136) (← links)
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (Q6181516) (← links)
- A general framework for a joint calibration of VIX and VXX options (Q6549588) (← links)