Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

SSRN Electronic Journal ◽

10.2139/ssrn.3468537 ◽

2019 ◽

Cited By ~ 1

Author(s):

B. Acciaio ◽

Julien Guyon

Keyword(s):

Convex Ordering ◽

Local Volatility ◽

Vix Futures

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Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

SIAM Journal on Financial Mathematics ◽

10.1137/19m129303x ◽

2020 ◽

Vol 11 (1) ◽

pp. SC1-SC13 ◽

Cited By ~ 2

Author(s):

Beatrice Acciaio ◽

Julien Guyon

Keyword(s):

Short Communication ◽

Convex Ordering ◽

Local Volatility ◽

Vix Futures

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A nonparametric local volatility model for swaptions smile

The Journal of Computational Finance ◽

10.21314/jcf.2018.343 ◽

2017 ◽

Cited By ~ 1

Author(s):

Dariusz Gatarek ◽

Juliusz Jablecki

Keyword(s):

Local Volatility ◽

Local Volatility Model ◽

Volatility Model

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The optimal investment problem in stochastic and local volatility models

The Journal of Investment Strategies ◽

10.21314/jois.2018.104 ◽

2018 ◽

Author(s):

Vladimir V. Piterbarg

Keyword(s):

Optimal Investment ◽

Local Volatility ◽

Investment Problem ◽

Volatility Models ◽

Optimal Investment Problem

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Explicit Density Approximations for Local Volatility Models Using Heat Kernel Expansions

SSRN Electronic Journal ◽

10.2139/ssrn.1800415 ◽

2011 ◽

Cited By ~ 1

Author(s):

Stephen Michael Taylor

Keyword(s):

Heat Kernel ◽

Local Volatility ◽

Volatility Models

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Accurate Pricing of Continuous Barrier Options with Local Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1852086 ◽

2011 ◽

Author(s):

Messaoud Chibane

Keyword(s):

Barrier Options ◽

Local Volatility

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Pricing Index-Linked Hybrids Under a Local Volatility Market Model

SSRN Electronic Journal ◽

10.2139/ssrn.2056277 ◽

2012 ◽

Author(s):

Mario Pucci

Keyword(s):

Market Model ◽

Local Volatility

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On the Simulation of a Quanto Process Under Local Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.2097921 ◽

2011 ◽

Author(s):

Fabien Le Floc'h

Keyword(s):

Local Volatility

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VIX Futures Volume and Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.2166170 ◽

2012 ◽

Author(s):

Bujar Huskaj

Keyword(s):

Vix Futures

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Calibrating and Pricing with Stochastic-Local Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.2182411 ◽

2012 ◽

Cited By ~ 3

Author(s):

Yu Tian ◽

Zili Zhu ◽

Fima Klebaner ◽

Kais Hamza

Keyword(s):

Local Volatility ◽

Local Volatility Model ◽

Volatility Model ◽

Stochastic Local Volatility

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Window Barrier Option Pricing with the Hybrid Stochastic-Local Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.2356816 ◽

2013 ◽

Cited By ~ 2

Author(s):

Yu Tian ◽

Zili Zhu ◽

Geoffrey Lee ◽

Thomas Lo ◽

Fima Klebaner ◽

...

Keyword(s):

Option Pricing ◽

Barrier Option ◽

Local Volatility ◽

Local Volatility Model ◽

Volatility Model ◽

Barrier Option Pricing ◽

Stochastic Local Volatility

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