Markovian stochastic volatility with stochastic correlation : joint calibration and consistency of SPX/VIX short-maturity smiles
Year of publication: |
2023
|
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Authors: | Forde, Martin ; Smith, Benjamin |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 2/3, Art.-No. 2350007, p. 1-42
|
Subject: | Freidlin-Wentzell theory | geodesics | large deviations | Markov models | small-time smile asymptotics | stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
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