231 citations · 874 across the 46 of their papers we have counts for
4 papers · 1 filter
A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing
Johannes Muhle-Karbe, Marcel Nutz
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the…
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…
Canonical Supermartingale Couplings
Marcel Nutz, Florian Stebegg
Two probability distributions and in second stochastic order can be coupled by a supermartingale, and in fact by many. Is there a canonical choice? We construct and investi…
A Mean Field Game of Optimal Stopping
Marcel Nutz
We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working…