Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
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Publication:4554477
DOI10.1080/14697688.2017.1412493zbMath1400.91589arXiv1706.00873OpenAlexW2624345357MaRDI QIDQ4554477
Jean-Pierre Fouque, Yuri F. Saporito
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.00873
Related Items (17)
Option pricing under the jump diffusion and multifactor stochastic processes ⋮ Tempered stable processes with time-varying exponential tails ⋮ Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance ⋮ Pricing variance swaps under subordinated Jacobi stochastic volatility models ⋮ Variance swaps under multiscale stochastic volatility of volatility ⋮ Volatility is (mostly) path-dependent ⋮ Weak approximations and VIX option price expansions in forward variance curve models ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ Inversion of convex ordering in the VIX market ⋮ The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach ⋮ Regime switching affine processes with applications to finance ⋮ Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods ⋮ Smiles \& smirks: volatility and leverage by jumps ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew ⋮ On Smile Properties of Volatility Derivatives: Understanding the VIX Skew
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