Short Communication: Inversion of Convex Ordering: Local...

SIAM Journal on Financial Mathematics 2020 / 01 Vol. 11; Iss. 1

Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

Acciaio, Beatrice, Guyon, Julien
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Volume:
11
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/19M129303X
Date:
January, 2020
File:
PDF, 421 KB
english, 2020
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