Bounds for VIX futures given S&P 500 smiles

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Guyon, Julien, et al. “Bounds for VIX Futures Given S&Amp;P 500 Smiles”. Finance and Stochastics, vol. 21, no. 3, 2017, pp. 593-30, https://doi.org/10.1007/s00780-017-0334-6.
Guyon, J., Menegaux, R., & Nutz, M. (2017). Bounds for VIX futures given S&P 500 smiles. Finance and Stochastics, 21(3), 593-630. https://doi.org/10.1007/s00780-017-0334-6
Guyon, Julien, Romain Menegaux, and Marcel Nutz. “Bounds for VIX Futures Given S&Amp;P 500 Smiles”. Finance and Stochastics 21, no. 3 (2017): 593-630. https://doi.org/10.1007/s00780-017-0334-6.
Guyon J, Menegaux R, Nutz M. Bounds for VIX futures given S&P 500 smiles. Finance and Stochastics. 2017;21(3):593-630.
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Category Category Repetition
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Refrences used by this article by year
Citations
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An extension of martingale transport and stability in robust finance Electronic Journal of Probability
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 2024
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle Finance and Stochastics
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Stability of the weak martingale optimal transport problem The Annals of Applied Probability
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 2023
An optimal transport-based characterization of convex order

 Dependence Modeling
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 2023
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew SIAM Journal on Financial Mathematics
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Citations Analysis
Category Category Repetition
Science: Mathematics9
Science: Mathematics: Probabilities. Mathematical statistics7
Social Sciences: Finance4
Social Sciences: Statistics4
Social Sciences: Economic theory. Demography: Economics as a science4
Social Sciences: Commerce: Business4
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The category Science: Mathematics 9 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing and was published in 2016. The most recent citation comes from a 2024 study titled An extension of martingale transport and stability in robust finance. This article reached its peak citation in 2022, with 4 citations. It has been cited in 7 different journals, 14% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 5 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year