Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663)
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scientific article; zbMATH DE number 7601791
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets |
scientific article; zbMATH DE number 7601791 |
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Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (English)
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14 October 2022
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rough volatility
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multifactor volatility
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calibration
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SPX options
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VIX options
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