Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

DOI10.1137/19M129303XzbMath1443.91280arXiv1910.05750MaRDI QIDQ5112529

Beatrice Acciaio, Julien Guyon

Publication date: 29 May 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.05750

zbMATH Keywords

stochastic volatilityVIX futureslocal volatilityconvex orderVIXinversion of convex ordering

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Inversion of convex ordering in the VIX market ⋮ From Bachelier to Dupire via optimal transport ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport

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