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Consistent time‐homogeneous modeling of SPX and VIX derivatives - MaRDI portal

Consistent time‐homogeneous modeling of SPX and VIX derivatives (Q6054430)

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scientific article; zbMATH DE number 7743081
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English
Consistent time‐homogeneous modeling of SPX and VIX derivatives
scientific article; zbMATH DE number 7743081

    Statements

    title
    Consistent time‐homogeneous modeling of SPX and VIX derivatives (English)
    0 references
    publication date
    28 September 2023
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    zbMATH Keywords
    consistent pricing
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    market models
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    stochastic volatility
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    VIX futures
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    cites work
    Q3992922
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    Q5423895
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    Q2782365
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    Q4340096
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    Identifiers

    arXiv ID
    1812.05859
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    DOI
    10.1111/mafi.12348
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    zbMATH DE Number
    7743081
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    OpenAlex ID
    W4280639220
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