Pages that link to "Item:Q4586033"
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The following pages link to Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033):
Displayed 20 items.
- Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model (Q342905) (← links)
- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo (Q1626511) (← links)
- Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
- Pricing VIX derivatives with free stochastic volatility model (Q2418425) (← links)
- The Impact of Jump Distributions on the Implied Volatility of Variance (Q2962130) (← links)
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (Q3456842) (← links)
- Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (Q4554477) (← links)
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
- Analysis of VIX Markets with a Time-Spread Portfolio (Q4585683) (← links)
- Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
- Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models (Q4682488) (← links)
- Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
- On Smile Properties of Volatility Derivatives: Understanding the VIX Skew (Q5029932) (← links)
- Inversion of convex ordering in the VIX market (Q5139256) (← links)
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
- Volatility is (mostly) path-dependent (Q6053108) (← links)
- Consistent time‐homogeneous modeling of SPX and VIX derivatives (Q6054430) (← links)
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (Q6181516) (← links)