Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Year of publication: |
2022
|
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Authors: | Rømer, Sigurd Emil |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 10, p. 1805-1838
|
Subject: | Calibration | Multifactor volatility | Rough volatility | SPX options | VIX options | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | ARCH-Modell | ARCH model | Schätzung | Estimation |
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