Joint calibration to SPX and VIX options with signature-based models
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Publication:6667578
DOI10.1111/MAFI.12442MaRDI QIDQ6667578
Christa Cuchiero, Janka Möller, Sara Svaluto-Ferro, Author name not available (Why is that?)
Publication date: 20 January 2025
Published in: Mathematical Finance (Search for Journal in Brave)
signature methodsS\&P 500/VIX joint calibrationcalibration of financial modelsaffine and polynomial processes
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