A general framework for a joint calibration of VIX and VXX options

DOI10.1007/S10479-023-05205-9zbMATH Open1540.91068MaRDI QIDQ6549588

Andrea Pallavicini, Andrea Mazzoran, Martino Grasselli

Publication date: 4 June 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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