Bounds for VIX futures given S&P 500 smiles
Julien Guyon, Romain Menegaux, Marcel Nutz
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Guyon, Julien ; Menegaux, Romain ; Nutz, Marcel |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 3, p. 593-630
|
| Subject: | VIX futures | Price bounds | Model-free pricing | Robust hedging | Hedging | Derivat | Derivative | Volatilität | Volatility | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0334-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944412