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"Short Communication: Inversion of Convex Ordering: Local Volatility Does ..."

Beatrice Acciaio, Julien Guyon (2020)

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DOI: 10.1137/19M129303X

access: closed

type: Journal Article

metadata version: 2023-09-30

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Beatrice Acciaio, Julien Guyon:
Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures. SIAM J. Financial Math. 11(1) (2020)

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