Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
Year of publication: |
June 2018
|
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Authors: | Fouque, Jean-Pierre ; Saporito, Y. F. |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 6, p. 1003-1016
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Subject: | Joint calibration | Volatility index | VIX | Heston model | Multiscale modelling | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Experiment |
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