MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES

DOI10.1142/s0219024923500073zbMath1521.91358MaRDI QIDQ6095476

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Publication date: 8 September 2023

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilitygeodesicslarge deviationsMarkov modelsFreidlin-Wentzell theorysmall-time smile asymptotics

Mathematics Subject Classification ID

Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20) Martingales and classical analysis (60G46)

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