Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
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Cites work
- A consistent pricing model for index options and volatility derivatives
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Arbitrage bounds for prices of weighted variance swaps
- AUTOMATED OPTION PRICING: NUMERICAL METHODS
- Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- Extremal moment methods and stochastic orders. Application in actuarial science
- Extreme Points of Moment Sets
- scientific article; zbMATH DE number 3766918 (Why is no real title available?)
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- Martingale optimal transport and robust hedging in continuous time
- Model-independent bounds for option prices -- a mass transport approach
- Optimal transportation with capacity constraints
- Optimal Transportation with Traffic Congestion and Wardrop Equilibria
- Robust bounds for forward start options
- Stochastic target problems with controlled loss
- The Existence of Probability Measures with Given Marginals
- Upper bounds on stop-loss premiums in case of known moments up to the fourth order
Cited in
(17)- Canonical supermartingale couplings
- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
- Fine properties of the optimal Skorokhod embedding problem
- Bounds for VIX futures given S{\&}P 500 smiles
- Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
- Extreme-strike comparisons and structural bounds for SPX and VIX options
- Joint modeling and calibration of SPX and VIX by optimal transport
- Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- Perturbation analysis of sub/super hedging problems
- Supermartingale Brenier's theorem with full-marginals constraint
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
- A general framework for a joint calibration of VIX and VXX options
- Rough multi-factor volatility for SPX and VIX options
- Dispersion-constrained martingale Schrödinger bridges: joint entropic calibration of stochastic volatility models to S\&P 500 and VIX smiles
- The McCormick martingale optimal transport
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
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