Bounds for VIX futures given S&P 500 smiles

被引：0
|
作者：
Julien Guyon
Romain Menegaux
Marcel Nutz
机构：
[1] Bloomberg L.P.,Quantitative Research
[2] Columbia University,Departments of Statistics and Mathematics
来源：
Finance and Stochastics | 2017年 / 21卷
关键词：
VIX futures; Price bounds; Model-free pricing; Robust hedging; 91B25; 60G42; 49N05; G12;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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 trading in the S&P 500 and its vanilla options as well as the forward-starting log-contracts. A dual problem of minimizing/maximizing certain risk-neutral expectations is introduced and shown to yield the same value.
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页码：593 / 630
页数：37
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