Bounds for VIX futures given S&P 500 smiles

Finance and Stochastics 2017 / 7 Vol. 21; Iss. 3

Bounds for VIX futures given S&P 500 smiles

Julien Guyon,Romain Menegaux,Marcel Nutz
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Volume:
21
Language:
english
Journal:
Finance and Stochastics
DOI:
10.1007/s00780-017-0334-6
Date:
July, 2017
File:
PDF, 2.43 MB
english, 2017
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