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20122023
most citedRobust utility maximization under model uncertainty via a penalization approach

10 citations · 35 across the 17 of their papers we have counts for

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q-fin.CP2016

Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo

Ivan Guo, Gregoire Loeper

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating…