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Inversion of convex ordering in the VIX market
16 references·0 citing·38 second hop
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References

  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 2018Volatility Is Rough793 cited
  • 2015Pricing under rough volatility461 cited
  • 1986Mimicking the one-dimensional marginal distributions of processes having an ito differential305 cited
  • 2006THE RANGE OF TRADED OPTION PRICES205 cited
  • 2005A note on sufficient conditions for no arbitrage165 cited
  • 2017Hybrid scheme for Brownian semistationary processes128 cited
  • 2011A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES112 cited
  • 2009Smile Dynamics IV107 cited
  • 2013A regime-switching Heston model for VIX and S&P 500 implied volatilities92 cited
  • 2008Consistent Modeling of SPX and VIX options83 cited
  • 2014Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model80 cited
  • 2017On VIX futures in the rough Bergomi model64 cited
  • 2019Computational methods for martingale optimal transport problems64 cited
  • 2011Introduction to Stochastic Volatility Models63 cited
  • 2017Regime-switching stochastic volatility model: estimation and calibration to VIX options

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