{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,25]],"date-time":"2026-02-25T19:17:01Z","timestamp":1772047021633,"version":"3.50.1"},"reference-count":24,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2017,6,7]],"date-time":"2017-06-07T00:00:00Z","timestamp":1496793600000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2017,7]]},"DOI":"10.1007\/s00780-017-0334-6","type":"journal-article","created":{"date-parts":[[2017,6,7]],"date-time":"2017-06-07T11:31:55Z","timestamp":1496835115000},"page":"593-630","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":18,"title":["Bounds for VIX futures given S&P 500 smiles"],"prefix":"10.1007","volume":"21","author":[{"given":"Julien","family":"Guyon","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Romain","family":"Menegaux","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Marcel","family":"Nutz","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2017,6,7]]},"reference":[{"key":"334_CR1","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12104","author":"E. Bayraktar","year":"2015","unstructured":"Bayraktar, E., Zhao, Z.: On arbitrage and duality under model uncertainty and portfolio constraints. Math. Finance (2015). doi: 10.1111\/mafi.12104","journal-title":"Math. Finance"},{"key":"334_CR2","doi-asserted-by":"crossref","first-page":"477","DOI":"10.1007\/s00780-013-0205-8","volume":"17","author":"M. Beiglb\u00f6ck","year":"2013","unstructured":"Beiglb\u00f6ck, M., Henry-Labord\u00e8re, P., Penkner, F.: Model-independent bounds for option prices: a\u00a0mass-transport approach. Finance Stoch. 17, 477\u2013501 (2013)","journal-title":"Finance Stoch."},{"key":"334_CR3","doi-asserted-by":"crossref","first-page":"42","DOI":"10.1214\/14-AOP966","volume":"44","author":"M. Beiglb\u00f6ck","year":"2016","unstructured":"Beiglb\u00f6ck, M., Juillet, N.: On a problem of optimal transport under marginal martingale constraints. Ann. Probab. 44, 42\u2013106 (2016)","journal-title":"Ann. Probab."},{"key":"334_CR4","doi-asserted-by":"crossref","unstructured":"Beiglb\u00f6ck, M., Nutz, M., Touzi, N.: Complete duality for martingale optimal transport on the line. Ann. Probab. (2016, to appear). Available online at arXiv:1507.00671","DOI":"10.1214\/16-AOP1131"},{"key":"334_CR5","doi-asserted-by":"crossref","first-page":"823","DOI":"10.1214\/14-AAP1011","volume":"25","author":"B. Bouchard","year":"2015","unstructured":"Bouchard, B., Nutz, M.: Arbitrage and duality in nondominated discrete-time models. Ann. Appl. Probab. 25, 823\u2013859 (2015)","journal-title":"Ann. Appl. Probab."},{"key":"334_CR6","unstructured":"Carr, P., Lee, R.: Robust replication of volatility derivatives. Preprint (2009). Available online at http:\/\/math.uchicago.edu\/~rl\/rrvd.pdf"},{"key":"334_CR7","doi-asserted-by":"crossref","first-page":"179","DOI":"10.1007\/s00780-009-0110-3","volume":"14","author":"P. Carr","year":"2010","unstructured":"Carr, P., Lee, R.: Hedging variance options on continuous semimartingales. Finance Stoch. 14, 179\u2013207 (2010)","journal-title":"Finance Stoch."},{"key":"334_CR8","doi-asserted-by":"crossref","first-page":"458","DOI":"10.1017\/CBO9780511569708.013","volume-title":"Option Pricing, Interest Rates, and Risk Management","author":"P. Carr","year":"2001","unstructured":"Carr, P., Madan, D.: Towards a theory of volatility trading. In: Musiela, M., et al. (eds.) Option Pricing, Interest Rates, and Risk Management, pp.\u00a0458\u2013476. Cambridge University Press, Cambridge (2001)"},{"key":"334_CR9","unstructured":"The CBOE volatility index\u2014VIX: www.cboe.com\/micro\/vix\/vixwhite.pdf (accessed on August 3, 2016)"},{"key":"334_CR10","doi-asserted-by":"crossref","first-page":"859","DOI":"10.1214\/12-AAP857","volume":"23","author":"A. Cox","year":"2013","unstructured":"Cox, A., Wang, J.: Root\u2019s barrier: construction, optimality and applications to variance options. Ann. Appl. Probab. 23, 859\u2013894 (2013)","journal-title":"Ann. Appl. Probab."},{"key":"334_CR11","volume-title":"Probabilities and Potential A","author":"C. Dellacherie","year":"1978","unstructured":"Dellacherie, C., Meyer, P.-A.: Probabilities and Potential A. North Holland, Amsterdam (1978)"},{"key":"334_CR12","doi-asserted-by":"crossref","first-page":"1171","DOI":"10.1137\/140960724","volume":"6","author":"S. Marco De","year":"2015","unstructured":"De Marco, S., Henry-Labord\u00e8re, P.: Linking vanillas and VIX options: a constrained martingale optimal transport problem. SIAM J. Financ. Math. 6, 1171\u20131194 (2015)","journal-title":"SIAM J. Financ. Math."},{"key":"334_CR13","unstructured":"Dupire, B.: Model free results on volatility derivatives. SAMSI, Research Triangle Park (2006). Available online at http:\/\/slideplayer.com\/slide\/737822\/"},{"key":"334_CR14","doi-asserted-by":"crossref","DOI":"10.1515\/9783110218053","volume-title":"Stochastic Finance: An Introduction in Discrete Time","author":"H. F\u00f6llmer","year":"2011","unstructured":"F\u00f6llmer, H., Schied, A.: Stochastic Finance: An Introduction in Discrete Time, 3rd edn. de Gruyter, Berlin (2011)","edition":"3"},{"key":"334_CR15","doi-asserted-by":"crossref","first-page":"312","DOI":"10.1214\/13-AAP925","volume":"24","author":"A. Galichon","year":"2014","unstructured":"Galichon, A., Henry-Labord\u00e8re, P., Touzi, N.: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. Ann. Appl. Probab. 24, 312\u2013336 (2014)","journal-title":"Ann. Appl. Probab."},{"key":"334_CR16","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1142\/S0219024913500428","volume":"16","author":"P. Henry-Labord\u00e8re","year":"2013","unstructured":"Henry-Labord\u00e8re, P.: Automated option pricing: numerical methods. Int. J. Theor. Appl. Finance 16, 135\u2013162 (2013)","journal-title":"Int. J. Theor. Appl. Finance"},{"key":"334_CR17","doi-asserted-by":"crossref","first-page":"611","DOI":"10.1007\/s00780-012-0190-3","volume":"16","author":"D. Hobson","year":"2012","unstructured":"Hobson, D., Klimmek, M.: Model-independent hedging strategies for variance swaps. Finance Stoch. 16, 611\u2013649 (2012)","journal-title":"Finance Stoch."},{"key":"334_CR18","doi-asserted-by":"crossref","first-page":"297","DOI":"10.7146\/math.scand.a-11086","volume":"30","author":"S. Johansen","year":"1972","unstructured":"Johansen, S.: A representation theorem for a convex cone of quasi convex functions. Math. Scand. 30, 297\u2013312 (1972)","journal-title":"Math. Scand."},{"key":"334_CR19","doi-asserted-by":"crossref","first-page":"61","DOI":"10.7146\/math.scand.a-11506","volume":"34","author":"S. Johansen","year":"1974","unstructured":"Johansen, S.: The extremal convex functions. Math. Scand. 34, 61\u201368 (1974)","journal-title":"Math. Scand."},{"key":"334_CR20","doi-asserted-by":"crossref","first-page":"939","DOI":"10.1111\/mafi.12083","volume":"26","author":"N. Kahal\u00e9","year":"2016","unstructured":"Kahal\u00e9, N.: Model-independent lower bound on variance swaps. Math. Finance 26, 939\u2013961 (2016)","journal-title":"Math. Finance"},{"key":"334_CR21","doi-asserted-by":"crossref","first-page":"74","DOI":"10.3905\/jpm.1994.409478","volume":"20","author":"A. Neuberger","year":"1994","unstructured":"Neuberger, A.: The log contract. J. Portf. Manag. 20, 74\u201380 (1994)","journal-title":"J. Portf. Manag."},{"key":"334_CR22","doi-asserted-by":"crossref","first-page":"93","DOI":"10.1017\/S0021900200014704","volume":"35","author":"M. Scarsini","year":"1998","unstructured":"Scarsini, M.: Multivariate convex orderings, dependence, and stochastic equality. J. Appl. Probab. 35, 93\u2013103 (1998)","journal-title":"J. Appl. Probab."},{"key":"334_CR23","doi-asserted-by":"crossref","first-page":"171","DOI":"10.2140\/pjm.1958.8.171","volume":"8","author":"M. Sion","year":"1958","unstructured":"Sion, M.: On general minimax theorems. Pac. J. Math. 8, 171\u2013176 (1958)","journal-title":"Pac. J. Math."},{"key":"334_CR24","doi-asserted-by":"crossref","first-page":"423","DOI":"10.1214\/aoms\/1177700153","volume":"36","author":"V. Strassen","year":"1965","unstructured":"Strassen, V.: The existence of probability measures with given marginals. Ann. Math. Stat. 36, 423\u2013439 (1965)","journal-title":"Ann. Math. Stat."}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-017-0334-6\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-017-0334-6.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-017-0334-6.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,9,25]],"date-time":"2019-09-25T14:35:40Z","timestamp":1569422140000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-017-0334-6"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,6,7]]},"references-count":24,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2017,7]]}},"alternative-id":["334"],"URL":"https:\/\/doi.org\/10.1007\/s00780-017-0334-6","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2017,6,7]]}}}