231 citations · 874 across the 46 of their papers we have counts for
5 papers · 1 filter
On the Guyon-Lekeufack Volatility Model
Marcel Nutz, Andrés Riveros Valdevenito
Guyon and Lekeufack recently proposed a path-dependent volatility model and documented its excellent performance in fitting market data and capturing stylized facts. The instantane…
Bounds for VIX Futures given S&P 500 Smiles
Julien Guyon, Romain Menegaux, Marcel Nutz
We derive sharp bounds for the prices of VIX futures using the full information of S&P 500 smiles. To that end, we formulate the model-free sub/superreplication of the VIX by tradi…
Superreplication under Model Uncertainty in Discrete Time
Marcel Nutz
We study the superreplication of contingent claims under model uncertainty in discrete time. We show that optimal superreplicating strategies exist in a general measure-theoretic s…
Superreplication under Volatility Uncertainty for Measurable Claims
Ariel Neufeld, Marcel Nutz
We establish the duality-formula for the superreplication price in a setting of volatility uncertainty which includes the example of "random G-expectation." In contrast to previous…
Small-Time Asymptotics of Option Prices and First Absolute Moments
Johannes Muhle-Karbe, Marcel Nutz
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process follows a general martingale. This is equivalent to stud…