Romain Menegaux

Bloomberg L.P.

731 Lexington Avenue

New York, NY 10022

United States

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Scholarly Papers (1)

1.

Bounds for VIX Futures Given S&P 500 Smiles

Number of pages: 24 Posted: 20 Sep 2016 Last Revised: 23 Jun 2017
Julien Guyon, Romain Menegaux and Marcel Nutz
Ecole des Ponts ParisTech, Bloomberg L.P. and Columbia University
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Citation 4

Abstract:

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VIX Futures, Price bounds, Superreplication, Subreplication, Model-free, Robust hedging, S&P 500 smile