Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
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Publication:5041663
DOI10.1080/14697688.2022.2081592zbMath1500.91139OpenAlexW4283011320MaRDI QIDQ5041663
Publication date: 14 October 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2022.2081592
Related Items (3)
Signature-Based Models: Theory and Calibration ⋮ Volatility is (mostly) path-dependent ⋮ MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
Uses Software
Cites Work
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