"Bounds for VIX futures given S&P 500 smiles."

Julien Guyon, Romain Menegaux, Marcel Nutz (2017)

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DOI: 10.1007/S00780-017-0334-6

access: closed

type: Journal Article

metadata version: 2020-12-29

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  - journals/fs/GuyonMN17
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  - https://dblp.org/rec/journals/fs/GuyonMN17
Julien Guyon, Romain Menegaux, Marcel Nutz:
Bounds for VIX futures given S&P 500 smiles. Finance Stochastics 21(3): 593-630 (2017)

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