Pages that link to "Item:Q2364530"

The following pages link to Bounds for VIX futures given S{\&}P 500 smiles (Q2364530):

Displaying 9 items.

• Pricing bounds for volatility derivatives via duality and least squares Monte Carlo (Q1626511) (← links)
• A risk-neutral equilibrium leading to uncertain volatility pricing (Q1709602) (← links)
• Applications of weak transport theory (Q2073218) (← links)
• Stability of martingale optimal transport and weak optimal transport (Q2117461) (← links)
• Volatility Options in Rough Volatility Models (Q5112731) (← links)
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
• Stability of the weak martingale optimal transport problem (Q6139683) (← links)
• Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (Q6181516) (← links)
• An optimal transport-based characterization of convex order (Q6184350) (← links)