Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (Q4554477)
From MaRDI portal
scientific article; zbMATH DE number 6979508
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options |
scientific article; zbMATH DE number 6979508 |
Statements
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (English)
0 references
14 November 2018
0 references
joint calibration
0 references
volatility index
0 references
Heston model
0 references
multiscale modelling
0 references
0 references
0 references
0 references
