Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (Q3456842)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem |
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Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (English)
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9 December 2015
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VIX options
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robust sub/super-replication
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duality
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martingale optimal transport
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