Elisa Alòs, David García-Lorite, Aitor Muguruza Gonzalez. On Smile Properties of Volatility Derivatives: Understanding the VIX Skew. SIAM J. Financial Math., 13(1):32-69, 2022. [doi]
@article{AlosGG22,
title = {On Smile Properties of Volatility Derivatives: Understanding the VIX Skew},
author = {Elisa Alòs and David García-Lorite and Aitor Muguruza Gonzalez},
year = {2022},
doi = {10.1137/19m1269981},
url = {https://doi.org/10.1137/19m1269981},
researchr = {https://researchr.org/publication/AlosGG22},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {13},
number = {1},
pages = {32-69},
}