This paper deals with the superhedging of derivatives on incomplete markets, i.e. with portfolio strategies which generate payoffs at least as high as that of a given contingent claim. The simplest solution to this problem is in many cases a static superhedge, i.e. a buy-and-hold strategy...

We analyze pricing models for VIX derivatives which account for the theoretical link to stock options, taking Log-VIX models as a benchmark. We focus on up to three risk factors to model variance risk. To assess the performance of the models, we do not only look at the pricing errors, but also...