"Linking Vanillas and VIX Options: A Constrained Martingale Optimal ..."

Stefano De Marco, Pierre Henry-Labordère (2015)

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DOI: 10.1137/140960724

access: closed

type: Journal Article

metadata version: 2017-05-17

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Stefano De Marco, Pierre Henry-Labordère:
Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem. SIAM J. Financial Math. 6(1): 1171-1194 (2015)

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