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Gao, Can; Martin, Ian - 2021

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

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Martin, Ian; Gao, Can - 2019

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Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin - In: Finance and stochastics 18 (2014) 2, pp. 297-326

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El Amrani, Mehdi - 2020

setting -- allows for such behaviour. This naturally gives rise to the concept of implied volatility bubbles, whereby trading …

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Jarrow, Robert A.; Kwok, Simon Sai Man - In: International review of finance : the official journal … 23 (2023) 2, pp. 469-479

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