A regime-switching Heston model for VIX and S&P 500 implied volatilities (Q5247236)
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scientific article; zbMATH DE number 6429496
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A regime-switching Heston model for VIX and S&P 500 implied volatilities |
scientific article; zbMATH DE number 6429496 |
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A regime-switching Heston model for VIX and S&P 500 implied volatilities (English)
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23 April 2015
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applied mathematical finance
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calibration of stochastic volatility
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VIX options
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model calibration
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