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