Open AccessShort Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures
Author(s) -
Beatrice Acciaio,
Julien Guyon
Publication year - 2020
Publication title -
siam journal on financial mathematics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.251
H-Index - 33
ISSN - 1945-497X
DOI - 10.1137/19m129303x
Subject(s) - local volatility , stochastic volatility , futures contract , volatility (finance) , econometrics , volatility smile , forward volatility , implied volatility , volatility swap , mathematics , variance swap , economics , sabr volatility model , regular polygon , financial economics , geometry
It has often been stated that, within the class of continuous stochastic volatility models calibrated to vanillas, the price of a VIX future is maximized by the Dupire local volatility model. In th...
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