Inversion of convex ordering in the VIX market (Q5139256)

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scientific article; zbMATH DE number 7282797
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Inversion of convex ordering in the VIX market
scientific article; zbMATH DE number 7282797

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    Inversion of convex ordering in the VIX market (English)
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    7 December 2020
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    convex order
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    inversion of convex ordering
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    martingale transport
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    local volatility
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    stochastic volatility
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    mean reversion
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    rough volatility
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    smile calibration
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