Joint SPX–VIX Calibration With Gaussian Polynomial Volatility Models : Deep Pricing With Quantization Hints
Year of publication: |
2022
|
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Authors: | Abi Jaber, Eduardo ; Illand, Camille ; Li, Shaun (Xiaoyuan) |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (39 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 3, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4292544 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C63 - Computational Techniques ; G10 - General Financial Markets. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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