Inversion of convex ordering in the VIX market (Q5139256)
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scientific article; zbMATH DE number 7282797
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inversion of convex ordering in the VIX market |
scientific article; zbMATH DE number 7282797 |
Statements
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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