231 citations · 874 across the 46 of their papers we have counts for
1 paper · 2 filters
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…