Joint calibration to SPX and VIX options with signature-based models
Year of publication: |
2025
|
---|---|
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
|
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 |
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