{"id":"https://openalex.org/W2523334480","doi":"https://doi.org/10.1007/s00780-017-0334-6","title":"Bounds for VIX futures given S&P 500 smiles","display_name":"Bounds for VIX futures given S&P 500 smiles","publication_year":2017,"publication_date":"2017-06-07","ids":{"openalex":"https://openalex.org/W2523334480","doi":"https://doi.org/10.1007/s00780-017-0334-6","mag":"2523334480"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-017-0334-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-017-0334-6","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1609.05832","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5072602318","display_name":"Julien Guyon","orcid":"https://orcid.org/0000-0001-5078-9626"},"institutions":[{"id":"https://openalex.org/I1299907687","display_name":"Bloomberg (United States)","ror":"https://ror.org/02rdpzb15","country_code":"US","type":"company","lineage":["https://openalex.org/I1299907687"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Julien Guyon","raw_affiliation_strings":["Quantitative Research, Bloomberg L.P., 731 Lexington Avenue, New York, NY, 10022, USA"],"affiliations":[{"raw_affiliation_string":"Quantitative Research, Bloomberg L.P., 731 Lexington Avenue, New York, NY, 10022, USA","institution_ids":["https://openalex.org/I1299907687"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5048256535","display_name":"Romain M\u00e9n\u00e9gaux","orcid":null},"institutions":[{"id":"https://openalex.org/I1299907687","display_name":"Bloomberg (United States)","ror":"https://ror.org/02rdpzb15","country_code":"US","type":"company","lineage":["https://openalex.org/I1299907687"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Romain Menegaux","raw_affiliation_strings":["Quantitative Research, Bloomberg L.P., 731 Lexington Avenue, New York, NY, 10022, USA"],"affiliations":[{"raw_affiliation_string":"Quantitative Research, Bloomberg L.P., 731 Lexington Avenue, New York, NY, 10022, USA","institution_ids":["https://openalex.org/I1299907687"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5048884547","display_name":"Marcel Nutz","orcid":"https://orcid.org/0000-0003-2936-2315"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Marcel Nutz","raw_affiliation_strings":["Departments of Statistics and Mathematics, Columbia University, Room 910 SSW, 1255 Amsterdam Avenue, New York, NY, 10027, USA"],"affiliations":[{"raw_affiliation_string":"Departments of Statistics and Mathematics, Columbia University, Room 910 SSW, 1255 Amsterdam Avenue, New York, NY, 10027, USA","institution_ids":["https://openalex.org/I78577930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5048884547"],"corresponding_institution_ids":["https://openalex.org/I78577930"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":2.4903,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.8935113,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"21","issue":"3","first_page":"593","last_page":"630"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9966999888420105,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.8082807064056396},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.6790332198143005},{"id":"https://openalex.org/keywords/upper-and-lower-bounds","display_name":"Upper and lower bounds","score":0.6017544269561768},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.528344988822937},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.48526570200920105},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.47276169061660767},{"id":"https://openalex.org/keywords/convex-function","display_name":"Convex function","score":0.46445441246032715},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.45784443616867065},{"id":"https://openalex.org/keywords/regular-polygon","display_name":"Regular polygon","score":0.4531283378601074},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3985227942466736},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3378921449184418},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3261500597000122},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.23849496245384216},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.19183266162872314},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.13557639718055725},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.1340320110321045}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.8082807064056396},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.6790332198143005},{"id":"https://openalex.org/C77553402","wikidata":"https://www.wikidata.org/wiki/Q13222579","display_name":"Upper and lower bounds","level":2,"score":0.6017544269561768},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.528344988822937},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.48526570200920105},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.47276169061660767},{"id":"https://openalex.org/C145446738","wikidata":"https://www.wikidata.org/wiki/Q319913","display_name":"Convex function","level":3,"score":0.46445441246032715},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.45784443616867065},{"id":"https://openalex.org/C112680207","wikidata":"https://www.wikidata.org/wiki/Q714886","display_name":"Regular polygon","level":2,"score":0.4531283378601074},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3985227942466736},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3378921449184418},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3261500597000122},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.23849496245384216},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.19183266162872314},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.13557639718055725},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.1340320110321045},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1007/s00780-017-0334-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-017-0334-6","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1609.05832","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1609.05832","pdf_url":"https://arxiv.org/pdf/1609.05832","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:RePEc:arx:papers:1609.05832","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"preprint"},{"id":"pmh:oai:RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0334-6","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00780-017-0334-6","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1609.05832","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1609.05832","pdf_url":"https://arxiv.org/pdf/1609.05832","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/9","display_name":"Industry, innovation and infrastructure","score":0.5799999833106995}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W126763369","https://openalex.org/W292358271","https://openalex.org/W1485598997","https://openalex.org/W1557270667","https://openalex.org/W1985077192","https://openalex.org/W2009192746","https://openalex.org/W2046080453","https://openalex.org/W2070589948","https://openalex.org/W2133975404","https://openalex.org/W2139689073","https://openalex.org/W2152245377","https://openalex.org/W2155429742","https://openalex.org/W2157767596","https://openalex.org/W2283275366","https://openalex.org/W2310154549","https://openalex.org/W2323026722","https://openalex.org/W2530122120","https://openalex.org/W2530834559","https://openalex.org/W2791633628","https://openalex.org/W2964158247","https://openalex.org/W2987552422","https://openalex.org/W3100511656","https://openalex.org/W3100939514","https://openalex.org/W3103030658","https://openalex.org/W3121775000","https://openalex.org/W3122203059","https://openalex.org/W3122977075","https://openalex.org/W3123878280","https://openalex.org/W3124843848","https://openalex.org/W3124916374","https://openalex.org/W4213065535"],"related_works":["https://openalex.org/W2549182546","https://openalex.org/W4283714926","https://openalex.org/W2171123343","https://openalex.org/W2802937241","https://openalex.org/W2767930639","https://openalex.org/W4388906216","https://openalex.org/W4307152771","https://openalex.org/W4391738183","https://openalex.org/W3138556019","https://openalex.org/W4387635768"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}