@article{8e7b3d804e9e43d7b36204ddd17117ad,
title = "Extreme-strike comparisons and structural bounds for SPX and VIX options",
abstract = "This article explores the relationship between the SPX and VIX options markets. High-strike VIX call options are used to hedge tail risk in the SPX, which means that SPX options are a reflection of the extreme-strike asymptotics of VIX options, and vice versa. This relationship can be quantified using moment formulas in a model-free way. Comparisons are made between VIX and SPX implied volatilities along with various examples of stochastic volatility models.",
keywords = "Extreme strikes, Model free, Moment formulas, VIX options",
author = "A. Papanicolaou",
note = "Funding Information: Part of this research was performed while the author was visiting the Institute for Pure and Applied Mathematics (IPAM), which is supported by the National Science Foundation. Funding Information: ∗Received by the editors December 27, 2014; accepted for publication (in revised form) January 17, 2018; published electronically April 10, 2018. http://www.siam.org/journals/sifin/9-2/100161.html Funding: Part of this research was performed while the author was visiting the Institute for Pure and Applied Mathematics (IPAM), which is supported by the National Science Foundation. †Department of Finance and Risk Engineering, NYU Tandon School of Engineering, Brooklyn, NY 11201 (ap1345@nyu.edu). Publisher Copyright: {\textcopyright} 2018 Society for Industrial and Applied Mathematics.",
year = "2018",
doi = "10.1137/141001615",
language = "English (US)",
volume = "9",
pages = "401--434",
journal = "SIAM Journal on Financial Mathematics",
issn = "1945-497X",
publisher = "Society for Industrial and Applied Mathematics Publications",
number = "2",
}