Bounds for VIX futures given S{\&}P 500 smiles

DOI10.1007/S00780-017-0334-6zbMath1422.91698arXiv1609.05832OpenAlexW2523334480MaRDI QIDQ2364530

Marcel Nutz, Romain Menegaux, Julien Guyon

Publication date: 21 July 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.05832

zbMATH Keywords

robust hedgingVIX futuresmodel-free pricingprice bounds

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Linear optimal control problems (49N05)

Related Items (9)

Pricing bounds for volatility derivatives via duality and least squares Monte Carlo ⋮ Stability of the weak martingale optimal transport problem ⋮ Volatility Options in Rough Volatility Models ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ An optimal transport-based characterization of convex order ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ Applications of weak transport theory ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew ⋮ Stability of martingale optimal transport and weak optimal transport

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