References

• 2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH358 cited
• 2014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options243 cited
• 2018Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets158 cited
• 2011A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES112 cited
• 2013A regime-switching Heston model for VIX and S&P 500 implied volatilities92 cited
• 2014Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model80 cited
• 2019Computational methods for martingale optimal transport problems64 cited
• 2017Regime-switching stochastic volatility model: estimation and calibration to VIX options62 cited
• 2015Joint pricing of VIX and SPX options with stochastic volatility and jump models50 cited
• 2010A Consistent Pricing Model for Index Options and Volatility Derivatives48 cited
• 2018Smiling twice: The Heston++ model47 cited
• 2012Weekly Options on CBOE Volatility Index Futures47 cited
• 2018Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options43 cited
• 2013AUTOMATED OPTION PRICING: NUMERICAL METHODS43 cited
• 2008