Joint calibration to SPX and VIX options with signature-based models
Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro
| Year of publication: |
2025
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|---|---|
| Authors: | Cuchiero, Christa ; Gazzani, Guido ; Möller, Janka ; Svaluto-Ferro, Sara |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 35.2025, 1, p. 161-213
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| Subject: | affine and polynomial processes | calibration of financial models | S&P 500/VIX joint calibration | signature methods | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Modellierung | Scientific modelling | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12442 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015359034