Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options

DOI10.1080/14697688.2017.1412493zbMath1400.91589arXiv1706.00873OpenAlexW2624345357MaRDI QIDQ4554477

Jean-Pierre Fouque, Yuri F. Saporito

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.00873

zbMATH Keywords

Heston modelmultiscale modellingvolatility indexjoint calibration

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (18)

Option pricing under the jump diffusion and multifactor stochastic processes ⋮ Tempered stable processes with time-varying exponential tails ⋮ Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance ⋮ Pricing variance swaps under subordinated Jacobi stochastic volatility models ⋮ Variance swaps under multiscale stochastic volatility of volatility ⋮ Volatility is (mostly) path-dependent ⋮ Weak approximations and VIX option price expansions in forward variance curve models ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ Inversion of convex ordering in the VIX market ⋮ The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach ⋮ Joint calibration to SPX and VIX options with signature-based models ⋮ Regime switching affine processes with applications to finance ⋮ Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods ⋮ Smiles \& smirks: volatility and leverage by jumps ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew ⋮ On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

Cites Work

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• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
• Time Dependent Heston Model
• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
• A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
• A regime-switching Heston model for VIX and S&P 500 implied volatilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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